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…
stat.ME2021
Noise Inference For Ergodic Lévy Driven SDE
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We study inference for the driving Lévy noise of an ergodic stochastic differential equation (SDE) model, when the process is observed at high-frequency and long time and when the…