170 citations · 811 across the 36 of their papers we have counts for
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q-fin.PR2008★ 1 cited
Perpetual American vanilla option pricing under single regime change risk. An exhaustive study
Miquel Montero
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivativ…
q-fin.PR2007★ 9 cited
Renewal equations for option pricing
Miquel Montero
In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time ran…
q-fin.PR2007★ 1 cited
Perpetual American options within CTRW's
Miquel Montero
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market mod…