1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.PR2024
A functional variational approach to pricing path dependent insurance policies
David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment str…
q-fin.MF2024★ 1 cited
Pricing VIX options under the Heston-Hawkes stochastic volatility model
Oriol Zamora Font
We derive a semi-analytical pricing formula for European VIX call options under the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This arbitrage-free mo…