15 citations · 39 across the 12 of their papers we have counts for
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q-fin.CP2021★ 8 cited
A fast Monte Carlo scheme for additive processes and option pricing
Michele Azzone, Roberto Baviera
In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motion…
q-fin.MF2021
Short-time implied volatility of additive normal tempered stable processes
Michele Azzone, Roberto Baviera
Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity. We exami…