2 papers
q-fin.MF2026
Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework
Kaustav Das, Nicolas Langrené
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based…
q-fin.MF2025
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
Kaustav Das, Ivan Guo, Grégoire Loeper
The price of a financial derivative can be expressed as an iterated conditional expectation, where the inner term conditions on the future of an auxiliary process. We show that thi…