319 citations · 464 across the 28 of their papers we have counts for
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q-fin.CP2012
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
Martijn Pistorius, Johannes Stolte
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scho…
q-fin.CP2008★ 2 cited
A method of moments approach to pricing double barrier contracts driven by a general class of jump diffusions
Bjorn Eriksson, Martijn Pistorius
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option pr…