6 citations · 10 across the 6 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
q-fin.CP2017
Most-likely-path in Asian option pricing under local volatility models
Louis-Pierre Arguin, Nien-Lin Liu, Tai-Ho Wang
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored…
q-fin.CP2017★ 6 cited
Probability density of lognormal fractional SABR model
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed n…
math.PR2017★ 1 cited
Bessel bridge representation for heat kernel in hyperbolic space
Xue Cheng, Tai-Ho Wang
This article shows a Bessel bridge representation for the transition density of Brownian motion on the Poincare space. This transition density is also referred to as the heat kerne…