26 citations · 59 across the 24 of their papers we have counts for
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math.PR2016★ 10 cited
Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model
Rúben Sousa, Ana Bela Cruzeiro, Manuel Guerra
We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile…
math.PR2016
Symmetries and martingales in a stochastic model for the Navier-Stokes equation
Ana Bela Cruzeiro, Rémi Lassalle
A stochastic description of solutions of the Navier-Stokes equation is investigated. These solutions are represented by laws of finite dimensional semi-martingales and characterize…