17 citations · 27 across the 5 of their papers we have counts for
5 papers
Series representation of the pricing formula for the European option driven by space-time fractional diffusion
Jean-Philippe Aguilar, Cyril Coste, Jan Korbel
In this paper, we show that the price of an European call option, whose underlying asset price is driven by the space-time fractional diffusion, can be expressed in terms of rapidl…
Regularization and analytic option pricing under -stable distribution of arbitrary asymmetry
Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert +1
We consider a non-Gaussian option pricing model, into which the underlying log-price is assumed to be driven by an -stable distribution. We remove the a priori divergence of the…
Distributional Mellin calculus in , with applications to option pricing
Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert +1
We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in and its connection to…
Non-Gaussian analytic option pricing: a closed formula for the Lévy-stable model
Jean-Philippe Aguilar, Cyril Coste, Jan Korbel
We establish an explicit pricing formula for the class of Lévy-stable models with maximal negative asymmetry (Log-Lévy model with finite moments and stability parameter …
The StressVaR: A New Risk Concept for Superior Fund Allocation
Cyril Coste, Raphael Douady, Ilija I. Zovko
In this paper we introduce a novel approach to risk estimation based on nonlinear factor models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR ap…