2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.CP2016
Calibration to American Options: Numerical Investigation of the de-Americanization
Olena Burkovska, Maximilian Gaß, Kathrin Glau +3
American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is in…
math.PR2012★ 2 cited
Sobolev index: A classification of Lévy processes
Kathrin Glau
We classify Lévy processes according to the solution spaces of the associated parabolic PIDEs. This classification reveals structural characteristics of the processes and is releva…