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20142023
most citedCryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk

14 citations · 40 across the 13 of their papers we have counts for

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Showing 2021Show all

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q-fin.CP2021★ 4 cited

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Young Shin Kim

This paper proposes the sample path generation method for the stochastic volatility version of CGMY process. We present the Monte-Carlo method for European and American option pric…