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math.PR2026
On the short-time behaviour of up-and-in barrier options using Malliavin calculus
Ãscar Burés
In this paper we study the short-maturity asymptotics of up-and-in barrier options under a broad class of stochastic volatility models. Our approach uses Malliavin calculus techniq…
math.PR2024
On the positivity of the density of stochastic delay differential equations driven by a fractional Brownian motion
Ãscar Burés, Carles Rovira
In this paper, we consider a Stochastic Delay Differential Equation with constant delay and, under the same conditions on the coefficients needed to ensure the smoothness of…