42 citations · 43 across the 12 of their papers we have counts for
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q-fin.MF2021
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
Jingtang Ma, Wensheng Yang, Zhenyu Cui
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are conti…
q-fin.CP2021
SINH-acceleration for B-spline projection with Option Pricing Applications
Svetlana Boyarchenko, Sergei Levendorskiĭ, J. Lars Kirkby +1
We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration tech…