7 citations · 10 across the 4 of their papers we have counts for
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q-fin.MF2021
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…
q-fin.MF2020
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…
q-fin.MF2018★ 3 cited
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…