2 papers
math.PR2026
Stationary solution for a fractional stochastic delay differential equations with multiple delays
Álvaro Guinea Juliá, Alet Roux
This paper studies a linear stochastic delay differential equation driven by fractional Brownian motion and involving a finite number of discrete delays. The model combines two sou…
q-fin.PR2021
Bitcoin option pricing: A market attention approach
Alvaro Guinea Julia, Alet Roux
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility…