75 citations · 236 across the 75 of their papers we have counts for
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q-fin.PR2012★ 1 cited
Option prices with call prices
Lauri Viitasaari
There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. I…
math.PR2012
Rate of convergence for discrete approximation of option prices
Lauri Viitasaari
In this article, we study the rate of convergence of prices when a model is approximated by some simplified model. We also provide a method how explicit error formula for more gene…
math.PR2012★ 10 cited
Rate of convergence for discretization of integrals with respect to Fractional Brownian motion
Lauri Viitasaari, Ehsan Azmoodeh
In this article, an uniform discretization of stochastic integrals $\int_{0}^{1} f'_-(B_t)\ud B_t$, with respect to fractional Brownian motion with Hurst parameter ,…