Preprints

 

• N. Cantarutti, J. Guerra, M. Guerra and M. R. Grossinho, "Option pricing in exponential Lévy models with transaction costs", CEMAPRE, Lisbon (2016).
• N. Cantarutti and J. Guerra, " Multinomial method for option pricing under Variance Gamma", CEMAPRE, Lisbon (2016).
• A. Santos and J. Guerra, "Implied risk neutral densities from option prices: hypergeometric, spline, lognormal and edgeworth functions", CEMAPRE, Lisbon (2015).
• J. M. Corcuera and J. Guerra, "Optimal investment in non-homogeneous Lévy markets", preprint nº395, IMUB, University of Barcelona (2007).
• J. Guerra, "Malliavin Calculus and applications to the Besov norm of Brownian motion", working paper nº 3-03, CEMAPRE, Lisbon (2003).