4 citations · 5 across the 5 of their papers we have counts for
3 papers · 1 filter
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…
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…
Higher order approximation of call option prices under stochastic volatility models
Archil Gulisashvili, Raúl Merino, Marc Lagunas +1
In the present paper, a decomposition formula for the call price due to Alòs is transformed into a Taylor type formula containing an infinite series with stochastic terms. The new…