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20182025
most citedDelay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations

1 citations · 2 across the 8 of their papers we have counts for

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math.PR2018★ 1 cited

A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling

Oussama Amine, Emmanuel Coffie, Fabian Harang +1

In this paper we derive a Bismut-Elworthy-Li type formula with respect to strong solutions to singular stochastic differential equations (SDE's) with additive noise given by a mult…