26 citations · 28 across the 2 of their papers we have counts for
2 papers
math.NA2021★ 2 cited
A pseudospectral method for Option Pricing with Transaction Costs under Exponential Utility
Javier de Frutos, Victor Gaton
This paper concerns the design of a Fourier based pseudospectral numerical method for the model of European Option Pricing with transaction costs under Exponential Utility derived…
math.OC2019★ 26 cited
Equilibrium strategies in a multiregional transboundary pollution differential game with spatially distributed controls
Javier de Frutos, Paula López, Guiomar Martín-Herrán
We analyze a differential game with spatially distributed controls to study a multiregional transboundary pollution problem. The dynamics of the state variable (pollution stock) is…