5 citations · 9 across the 10 of their papers we have counts for
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q-fin.PR2018
Volatility options in rough volatility models
Blanka Horvath, Antoine Jacquier, Peter Tankov
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computin…
q-fin.MF2018
Dirichlet Forms and Finite Element Methods for the SABR Model
Blanka Horvath, Oleg Reichmann
We propose a deterministic numerical method for pricing vanilla options under the SABR stochastic volatility model, based on a finite element discretization of the Kolmogorov prici…