most citedOptimal reinsurance via BSDEs in a partially observable model with jump clusters

3 citations · 3 across the 2 of their papers we have counts for

collaborators
Showing q-fin.PRShow all

1 paper · 1 filter

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…