247 citations · 1.2k across the 33 of their papers we have counts for
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cond-mat2001★ 13 cited
The effect of non-ideal market conditions on option pricing
Josep Perello, Jaume Masoliver
Option pricing is mainly based on ideal market conditions which are well represented by the Geometric Brownian Motion (GBM) as market model. We study the effect of non-ideal market…
cond-mat.stat-mech2001
Return or stock price differences
Jaume Masoliver, Miquel Montero, Josep Perello
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return…
cond-mat2001★ 47 cited
A correlated stochastic volatility model measuring leverage and other stylized facts
Josep Perello, Jaume Masoliver
We present a stochastic volatility market model where volatility is correlated with return and is represented by an Ornstein-Uhlenbeck process. With this model we exactly measure t…