48 citations · 88 across the 27 of their papers we have counts for
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q-fin.MF2014★ 2 cited
Indifference prices and implied volatilities
Matthew Lorig
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded…
q-fin.CP2014★ 2 cited
Leveraged {ETF} implied volatilities from {ETF} dynamics
Tim Leung, Matthew Lorig, Andrea Pascucci
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship…
q-fin.CP2014
Asymptotics for -dimensional Lévy-type processes
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Lev…