6 citations · 11 across the 3 of their papers we have counts for
3 papers
q-fin.PR2016
Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
S. Kuchuk-Iatsenko, Y. Mishura, Y. Munchak
The article is devoted to models of financial markets with stochastic volatility, which is defined by a functional of Ornstein-Uhlenbeck process or Cox-Ingersoll-Ross process. We s…
q-fin.CP2016★ 5 cited
Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation
Sergii Kuchuk-Iatsenko, Yuliya Mishura
We consider a discrete-time approximation of paths of an Ornstein--Uhlenbeck process as a mean for estimation of a price of European call option in the model of financial market wi…
q-fin.PR2015★ 6 cited
Pricing the European call option in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Exact formulas
Sergii Kuchuk-Iatsenko, Yuliya Mishura
We consider the Black--Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets. For volatility driven by the Or…