6 citations · 13 across the 4 of their papers we have counts for
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quant-ph2018★ 3 cited
Quantum Systems for Monte Carlo Methods and Applications to Fractional Stochastic Processes
Sebastian F. Tudor, Rupak Chatterjee, Lac Nguyen +1
Random numbers are a fundamental and useful resource in science and engineering with important applications in simulation, machine learning and cyber-security. Quantum systems can…
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…