1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2016
Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
S. Kuchuk-Iatsenko, Y. Mishura, Y. Munchak
The article is devoted to models of financial markets with stochastic volatility, which is defined by a functional of Ornstein-Uhlenbeck process or Cox-Ingersoll-Ross process. We s…
math.PR2016★ 1 cited
Functional limit theorems for additive and multiplicative schemes in the Cox--Ingersoll--Ross model
Yuliia Mishura, Yevheniia Munchak
In this paper, we consider the Cox--Ingersoll--Ross (CIR) process in the regime where the process does not hit zero. We construct additive and multiplicative discrete approximation…