28 citations · 58 across the 11 of their papers we have counts for
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q-fin.PR2021
American options in the Volterra Heston model
Etienne Chevalier, Sergio Pulido, Elizabeth Zúñiga
We price American options using kernel-based approximations of the Volterra Heston model. We choose these approximations because they allow simulation-based techniques for pricing.…
q-fin.PR2015
Financial Models with Defaultable Numéraires
Travis Fisher, Sergio Pulido, Johannes Ruf
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classi…
q-fin.PR2010★ 11 cited
The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
Sergio Pulido
This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset…