activity
20102025
most citedInformation, no-arbitrage and completeness for asset price models with a change point

6 citations · 12 across the 9 of their papers we have counts for

collaborators
Showing 2018 · math.PRShow all

1 paper · 2 filters

math.PR2018

Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing

Zorana Grbac, David Krief, Peter Tankov

This work extends the variance reduction method for the pricing of possibly path-dependent derivatives, which was developed in (Genin and Tankov, 2016) for exponential Lévy models,…