247 citations · 1.2k across the 33 of their papers we have counts for
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cond-mat.other2004★ 6 cited
Hints for an extension of the early exercise premium formula for American options
Hans-Peter Bermin, Arturo Kohatsu-Higa, Josep Perello
Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numeric…
cond-mat.other2004★ 31 cited
Extreme times in financial markets
Jaume Masoliver, Miquel Montero, Josep Perello
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, sp…