3 citations · 3 across the 4 of their papers we have counts for
4 papers
A Note on the Pricing of Basket Options Using Taylor Approximations
Pablo Olivares, Alexander Alvarez
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mix…
Trajectory Based Models, Arbitrage and Continuity
Alexander Alvarez, Sebastian Ferrando
The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitra…
Arbitrage and Hedging in a non probabilistic framework
Alexander Alvarez, Sebastian Ferrando, Pablo Olivares
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure…
Estimation of the instantaneous volatility
A. Alvarez, F. Panloup, M. Pontier +1
This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following form: , where denotes the log-price…