6 citations · 15 across the 4 of their papers we have counts for
4 papers
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…
An extension of Heston's SV model to Stochastic Interest Rates
Javier de Frutos, Victor Gaton
In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant…
Chebyshev Reduced Basis Function applied to Option Valuation
Javier de Frutos, Victor Gaton
We present a numerical method for the frequent pricing of financial derivatives that depends on a large number of variables. The method is based on the construction of a polynomial…
A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility
Javier de Frutos, Victor Gaton
This paper concerns the numerical solution of the finite-horizon Optimal Investment problem with transaction costs under Potential Utility. The problem is initially posed in terms…