3 papers
q-fin.CP2023
Silkswap: An asymmetric automated market maker model for stablecoins
Nicola Cantarutti, Alex Harker, Carter Woetzel
Silkswap is an automated market maker model designed for efficient stablecoin trading with minimal price impact. The original purpose of Silkswap is to facilitate the trading of fi…
q-fin.PR2017
Multinomial method for option pricing under Variance Gamma
Nicola Cantarutti, João Guerra
This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is a…
q-fin.MF2016
Option pricing in exponential Lévy models with transaction costs
Nicola Cantarutti, João Guerra, Manuel Guerra +1
We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential Lévy process. The model i…