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q-fin.PR2020
A decomposition formula for fractional Heston jump diffusion models
Marc Lagunas-Merino, Salvador Ortiz-Latorre
We present an option pricing formula for European options in a stochastic volatility model. In particular, the volatility process is defined using a fractional integral of a diffus…
q-fin.PR2020
Variance and interest rate risk in unit-linked insurance policies
David R. Baños, Marc Lagunas-Merino, Salvador Ortiz-Latorre
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatil…