8 citations · 12 across the 6 of their papers we have counts for
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q-fin.PR2009★ 3 cited
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Sovan Mitra
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consis…
q-fin.PR2009★ 8 cited
A Review of Volatility and Option Pricing
Sovan Mitra
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant v…