146 citations · 160 across the 5 of their papers we have counts for
5 papers
VIX pricing in the rBergomi model under a regime switching change of measure
Henrique Guerreiro, João Guerra
The rBergomi model under the physical measure consists of modeling the log-variance as a truncated Brownian semi-stationary process. Then, a deterministic change of measure is appl…
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Henrique Guerreiro, João Guerra
In stochastic Volterra rough volatility models, the volatility follows a truncated Brownian semi-stationary process with stochastic vol-of-vol. Recently, efficient VIX pricing Mont…
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…
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…
Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
João Guerra, David Nualart
We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fracti…