activity
20012021
most citedMonte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation

183 citations · 905 across the 25 of their papers we have counts for

collaborators
Showing 2016Show all

1 paper · 1 filter

q-fin.MF2016★ 2 cited

Stability of calibration procedures: fractals in the Black-Scholes model

Yiran Cui, Sebastian del Bano Rollin, Guido Germano

Usually, in the Black-Scholes pricing theory the volatility is a positive real parameter. Here we explore what happens if it is allowed to be a complex number. The function for pri…