13 citations · 23 across the 8 of their papers we have counts for
Showing 2014Show all
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q-fin.PR2014
On Trading American Put Options with Interactive Volatility
Sigurd Assing, Yufan Zhao
We introduce a simple stochastic volatility model, whose novelty consists in taking into account hitting times of the asset price, and study the optimal stopping problem correspond…
math-ph2014
On the collapse of trial solutions for a damped-driven non-linear Schrödinger equation
Sigurd Assing, Astrid Hilbert
We consider the focusing 2D non-linear Schrödinger equation, perturbed by a damping term, and driven by multiplicative noise. We show that a physically motivated trial solution doe…