7 citations · 10 across the 4 of their papers we have counts for
4 papers
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
Kaustav Das, Ivan Guo, Grégoire Loeper
The price of a financial derivative can be expressed as an iterated conditional expectation, where the inner term conditions on the future of an auxiliary process. We show that thi…
Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion
Kaustav Das, Greg Markowsky
In a recent paper by Yu (arXiv:2008.05633, 2020), higher order derivatives of self-intersection local time of fractional Brownian motion were defined, and existence over certain re…
Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework
Kaustav Das, Nicolas Langrené
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based…
Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
Kaustav Das, Nicolas Langrené
We consider closed-form approximations for European put option prices within the Heston and GARCH diffusion stochastic volatility models with time-dependent parameters. Our methodo…