22 citations · 55 across the 16 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
q-fin.MF2016
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy models With Local Volatility
José E. Figueroa-López, Ruoting Gong, Matthew Lorig
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both lo…
math.ST2016★ 1 cited
Trajectory Fitting Estimators for SPDEs Driven by Additive Noise
Igor Cialenco, Ruoting Gong, Yicong Huang
In this paper we study the problem of estimating the drift/viscosity coefficient for a large class of linear, parabolic stochastic partial differential equations (SPDEs) driven by…