6 citations · 14 across the 16 of their papers we have counts for
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q-fin.PR2021★ 6 cited
An Efficient Unified Approach for Spread Option Pricing in a Copula Market Model
Edoardo Berton, Lorenzo Mercuri
In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The advantage of the proposed method is that it…
q-fin.PR2014★ 3 cited
Option Pricing in a Dynamic Variance-Gamma Model
Lorenzo Mercuri, Fabio Bellini
We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamm…