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20182021
most citedExistence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

7 citations · 10 across the 4 of their papers we have counts for

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Showing 2018 · q-fin.MFShow all

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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…