most citedQuantum Systems for Monte Carlo Methods and Applications to Fractional Stochastic Processes

3 citations · 5 across the 3 of their papers we have counts for

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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…