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q-fin.CP2026
The Fourier estimator of spot volatility: Unbounded coefficients and jumps in the price process
L. J. Espinosa González, Erick Treviño Aguilar
We study a Fourier-based estimator of the spot volatility of a semimartingale, originally introduced by Malliavin and Mancino, and extend its asymptotic theory. First, we remove th…
q-fin.CP2009
T-Systems and the lower Snell envelope
Erick Trevino Aguilar
The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is charact…