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20042026
most citedVanishing Viscosity Limits and Boundary Layers for Circularly Symmetric 2D Flows

66 citations · 171 across the 35 of their papers we have counts for

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q-fin.PR2009★ 1 cited

Closed form asymptotics for local volatility models

Wen Cheng, Nick Costanzino, John Liechty +2

We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commuta…