2 citations · 3 across the 3 of their papers we have counts for
3 papers
q-fin.MF2019
Optimal execution with dynamic risk adjustment
Xue Cheng, Marina Di Giacinto, Tai-Ho Wang
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price…
q-fin.CP2018★ 2 cited
Target volatility option pricing in lognormal fractional SABR model
Elisa Alos, Rupak Chatterjee, Sebastian Tudor +1
We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicati…
math.PR2016★ 1 cited
Bridge representation and modal-path approximation
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
The article shows a bridge representation for the joint density of a system of stochastic processes consisting of a Brownian motion with drift coupled with a correlated fractional…