2 citations · 2 across the 1 of their papers we have counts for
2 papers
quant-ph2018
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…