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q-fin.MF2025
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
Jian He, Sven Karbach, Asma Khedher
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the und…
q-fin.MF2021★ 2 cited
Liquidity-free implied volatilities: an approach using conic finance
Matteo Michielon, Asma Khedher, Peter Spreij
We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an ap…