13 citations · 13 across the 1 of their papers we have counts for
2 papers
q-fin.PR2018
Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation
Keegan Mendonca, Vasileios E. Kontosakos, Athanasios A. Pantelous +1
Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and es…
math-ph2015★ 13 cited
The Maximum Number of 3- and 4-Cliques within a Planar Maximally Filtered Graph
Jenna Birch, Athanasios A. Pantelous, Konstantin Zuev
Planar Maximally Filtered Graphs (PMFG) are an important tool for filtering the most relevant information from correlation based networks such as stock market networks. One of the…