130 citations · 966 across the 47 of their papers we have counts for
3 papers · 1 filter
Do your volatility smiles take care of extreme events?
L. Spadafora, G. P. Berman, F. Borgonovi
In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of…
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
L. Spadafora, G. P. Berman, F. Borgonovi
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C…
Evolution of Entanglement of Two Qubits Interacting through Local and Collective Environments
M. Merkli, G. P. Berman, F. Borgonovi +1
We analyze rigorously the dynamics of the entanglement between two qubits which interact only through collective and local environments. Our approach is based on the resonance pert…