34 citations · 51 across the 9 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2026
Reaction-boundary variance and adjoint-consistent local-volatility projection
Chris Angstmann, Tim Gebbie
We derive an operational-time variance kernel for a latent-order-book reaction boundary and use it to separate three objects usually collapsed in calendar-time volatility models: a…
q-fin.PR2026
Option prices from operational-time reaction-boundary lattices
Chris Angstmann, Tim Gebbie
We consider the role of a continuum operational time , its mapping to calendar time , and their relation to event time in option-pricing problems. We derive option-pricing eq…