10 citations · 11 across the 2 of their papers we have counts for
2 papers
math.AP2009★ 10 cited
Approximate Solutions to Second Order Parabolic Equations I: analytic estimates
Radu Constantinescu, Nick Costanzino, Anna L Mazzucato +1
We establish a new type of local asymptotic formula for the Green's function of a uniformly parabolic linear operator with non-constant coeff…
q-fin.PR2009★ 1 cited
Closed form asymptotics for local volatility models
Wen Cheng, Nick Costanzino, John Liechty +2
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commuta…