2 citations · 2 across the 3 of their papers we have counts for
3 papers
q-fin.PR2016
Pricing Weakly Model Dependent Barrier Products
Jan Kuklinski, Panagiotis Papaioannou, Kevin Tyloo
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for produ…
q-fin.CP2016
Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options
Jan Kuklinski, Kevin Tyloo
We discuss a semi-analytical method for solving SABR-type equations based on path integrals. In this approach, one set of variables is integrated analytically while the second set…
q-fin.MF2014★ 2 cited
Modelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models
Jan Kuklinski, Doinita Negru, Pawel Pliszka
We discuss modelling of SPX and DAX index option prices using the Shifted Log-Normal (SLN) model, (also known as Displaced Diffusion), and the SABR model. We found out that for SPX…