65 citations · 231 across the 26 of their papers we have counts for
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q-fin.PR2022
Pricing commodity index options
Alberto Manzano, Emanuele Nastasi, Andrea Pallavicini +1
We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to be able to recover the prices of derivative claims both on…
q-fin.PR2022★ 1 cited
Rough-Heston Local-Volatility Model
Enrico Dall'Acqua, Riccardo Longoni, Andrea Pallavicini
In industrial applications it is quite common to use stochastic volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market vol…