18 citations · 94 across the 17 of their papers we have counts for
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math.PR2012
The first passage time of a stable process conditioned to not overshoot
Fernando Cordero
Consider a stable Lévy process and let , for , denote the first passage time of above the level . In this work, we give an alternative proof of t…
math.PR2012★ 5 cited
Binary markets under transaction costs
Fernando Cordero, Irene Klein, Lavinia Ostafe
The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbi…