146 citations · 160 across the 5 of their papers we have counts for
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q-fin.PR2022★ 1 cited
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…
q-fin.PR2021★ 3 cited
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…
q-fin.PR2017★ 8 cited
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…