62 citations · 586 across the 31 of their papers we have counts for
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q-fin.PR2022★ 1 cited
Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities
Daniel Guterding
We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates term…
q-fin.PR2018★ 10 cited
The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options
Daniel Guterding, Wolfram Boenkost
The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and captures the most basic…