2 papers
q-fin.MF2021
A note on closed-form spread option valuation under log-normal models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +1
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this…
math.PR2013
Localization of Wiener Functionals of Fractional Regularity and Applications
Kai He, Jiagang Ren, Hua Zhang
In this paper we localize some of Watanabe's results on fractional Wiener functionals, and use them to give a precise estimate of the difference between two Donsker's delta functio…