1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2014
On small-noise equations with degenerate limiting system arising from volatility models
Giovanni Conforti, Stefano De Marco, Jean-Dominique Deuschel
The one-dimensional SDE with non Lipschitz diffusion coefficient is widely studied in mathematical finance. Several works…
q-fin.PR2010★ 1 cited
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
Vlad Bally, Stefano De Marco
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the lo…