4 citations · 5 across the 5 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2019
Decomposition formula for rough Volterra stochastic volatility models
Raul Merino, Jan Pospíšil, Tomáš Sobotka +2
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly p…
q-fin.PR2019★ 4 cited
Decomposition formula for jump diffusion models
Raul Merino, Jan Pospíšil, Tomáš Sobotka +1
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an e…