3 citations · 5 across the 2 of their papers we have counts for
2 papers
q-fin.CP2021★ 2 cited
Finite element solutions of the nonlinear RAPM Black-Scholes model
Dongming Wei, Yogi Ahmad Erlangga, Andrey Pak +1
his paper presents finite element methods for solving numerically the Risk-Adjusted Pricing Methodology (RAPM) Black-Scholes model for option pricing with transaction costs. Spatia…
math.ST2021★ 3 cited
On statistical estimation and inferences in optional regression models
Mohamed Abdelghani, Alexander Melnikov, Andrey Pak
The main object of investigation in this paper is a very general regression model in optional setting - when an observed process is an optional semimartingale depending on an unkno…