Publications by the researcher in collaboration with Iñigo Arregui Álvarez (2)

2021

  1. Pricing TARN options with a stochastic local volatility model

    Proceedings of the XXVI Congreso de Ecuaciones Diferenciales y Aplicaciones, XVI Congreso de Matemática Aplicada: Gijón (Asturias), Spain, June 14-18, 2021

2020

  1. A stochastic local volatility technique for TARN options

    International Journal of Computer Mathematics, Vol. 97, Núm. 5, pp. 1133-1149