3 papers
q-fin.PR2026
Matrix Approximation of Bachelier Option Prices and Greeks under Stochastic Volatility models
Elisa Alòs, Òscar Burés
In this paper, we present a numerical method for option pricing and the computation of Greeks under stochastic volatility Bachelier-type models, based on elementary linear algebra.…
q-fin.MF2025
Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
Elisa Alòs, Òscar Burés, Josep Vives
In this paper we use Malliavin Calculus techniques in order to obtain expressions for the short-time behavior of the at-the-money implied volatility (ATM-IV) level and skew for a j…
math.PR2024
On the positivity of the density of stochastic delay differential equations driven by a fractional Brownian motion
Òscar Burés, Carles Rovira
In this paper, we consider a Stochastic Delay Differential Equation with constant delay and, under the same conditions on the coefficients needed to ensure the smoothness of…