2 papers
math.PR2023
Interacting particle systems with continuous spins
Viktor Bezborodov, Luca Di Persio, Martin Friesen +1
We study a general class of interacting particle systems over a countable state space where on each site the particle mass follows a stochastic differen…
math.PR2016
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
Viktor Bezborodov, Luca Di Persio, Yuliya Mishura
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework cha…