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math.PR2020★ 7 cited
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…
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…