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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 2021 · q-fin.MFShow all

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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…