2 citations · 4 across the 3 of their papers we have counts for
3 papers
q-fin.PR2008★ 1 cited
Risk Premium Impact in the Perturbative Black Scholes Model
Luca Regis, Simone Scotti
We study the risk premium impact in the Perturbative Black Scholes model. The Perturbative Black Scholes model, developed by Scotti, is a subjective volatility model based on the c…
q-fin.PR2008★ 2 cited
Perturbative Approach on Financial Markets
Simone Scotti
We study the point of transition between complete and incomplete financial models thanks to Dirichlet Forms methods. We apply recent techniques, developped by Bouleau, to hedging p…
math.AP2007★ 1 cited
Errors Theory using Dirichlet Forms, Linear Partial Differential Equations and Wavelets
Simone Scotti
We present an application of error theory using Dirichlet Forms in linear partial differential equations (LPDE). We study the transmission of an uncertainty on the terminal conditi…