1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2023★ 1 cited
Tempered geometric stable distributions and processes
Lorenzo Torricelli
We introduce a notion of geometric tempering using exponentially-dampened Mittag-Leffler tempering functions and closely investigate the univariate case. Characteristic exponents a…
q-fin.PR2012
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Lorenzo Torricelli
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variatio…