3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.PR2022★ 3 cited
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Matteo Brachetta, Giorgia Callegaro, Claudia Ceci +1
We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process.…
q-fin.PR2012
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
R. E. Caflisch, G. Gambino, M. Sammartino +1
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs…