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20142020
most citedOn the product formula and convolution associated with the index Whittaker transform

38 citations · 109 across the 9 of their papers we have counts for

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math.PR2016★ 10 cited

Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model

Rúben Sousa, Ana Bela Cruzeiro, Manuel Guerra

We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile…