1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2024★ 1 cited
Linear short rate model with several delays
Alet Roux, Álvaro Guinea Juliá
This paper introduces a short rate model in continuous time that adds one or more memory (delay) components to the Merton model (Merton 1970, 1973) or the Vasiček model (Vasiček 19…
q-fin.CP2024
Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
Álvaro Guinea Juliá, Alet Roux
We present an approximation method based on the mixing formula (Hull & White 1987, Romano & Touzi 1997) for pricing European options in Barndorff-Nielsen and Shephard models. This…