247 citations · 490 across the 10 of their papers we have counts for
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q-fin.ST2008★ 42 cited
The escape problem under stochastic volatility: the Heston model
Jaume Masoliver, Josep Perello
We solve the escape problem for the Heston random diffusion model. We obtain exact expressions for the survival probability (which ammounts to solving the complete escape problem)…
q-fin.PR2008★ 5 cited
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Josep Perello, Ronnie Sircar, Jaume Masoliver
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffu…
q-fin.TR2008★ 40 cited
A model for interevent times with long tails and multifractality in human communications: An application to financial trading
J. Perello, J. Masoliver, A. Kasprzak +1
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the inter…