Browsing Matematisk institutt by Author "Lagunas Merino, Marc"
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Gulisashvili, Archil; Lagunas Merino, Marc; Merino, Raúl; Vives, Josep (Journal article / Tidsskriftartikkel / SubmittedVersion, 2019)We expand the celebrated Alòs decomposition formula of the call price under the Heston model in a Taylor type series of in nite stochastic terms. This expansion is a di erent representation of a formula given in a recent ...
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Stochastic Modeling with Fractional and non-Fractional Noises: Applications to Finance and Insurance Lagunas Merino, Marc (Doctoral thesis / Doktoravhandling, 2020)In my doctoral work, I have developed stochastic models that use different type of noises, to price financial derivatives and insurance products. Stock prices have a random component in their behavior that characterizes ...