4 papers
Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model
Gijs Custers, Sven Karbach, Martin Friesen
We develop semi-closed pricing formulas and lifted-model hedging methods for discretely monitored geometric and arithmetic Asian options in the Volterra-Heston stochastic volatilit…
Boundary behaviour of the Volterra square-root process
Martin Friesen, Stefan Gerhold, Kristof Wiedermann
In this work, we study the boundary behaviour of the Volterra square-root process on . For regular Volterra kernels, we establish a time-dependent Feller condition that guara…
Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process
Mohamed Ben Alaya, Martin Friesen, Jonas Kremer
We study the Volterra Volterra Cox-Ingersoll-Ross process on and its stationary version. Based on a fine asymptotic analysis of the corresponding Volterra Riccati eq…
Maximum likelihood estimation in the ergodic Volterra Ornstein-Uhlenbeck process
Mohamed Ben Alaya, Martin Friesen, Jonas Kremer
We study statistical inference of the drift parameters for the Volterra Ornstein-Uhlenbeck process on R in the ergodic regime. For continuous-time observations, we derive the corre…