Saved in:
| Main Authors: | Hellmuth, Kathrin, Klingenberg, Christian |
|---|---|
| Format: | Preprint |
| Published: |
2022
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2202.07378 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
On the Weak Error for Local Stochastic Volatility Models
by: Friz, Peter K., et al.
Published: (2025)
by: Friz, Peter K., et al.
Published: (2025)
Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)
by: Gairat, Alexander, et al.
Published: (2023)
American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework
by: Shah, Roshan
Published: (2025)
by: Shah, Roshan
Published: (2025)
Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach
by: Ahmed, Aqib, et al.
Published: (2026)
by: Ahmed, Aqib, et al.
Published: (2026)
Black-Scholes Model, comparison between Analytical Solution and Numerical Analysis
by: Romaggi, Francesco
Published: (2025)
by: Romaggi, Francesco
Published: (2025)
Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)
by: Choi, Jaehyuk, et al.
Published: (2024)
A path-dependent PDE solver based on signature kernels
by: Pannier, Alexandre, et al.
Published: (2024)
by: Pannier, Alexandre, et al.
Published: (2024)
A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
by: Zhu, Qinwen, et al.
Published: (2026)
by: Zhu, Qinwen, et al.
Published: (2026)
Generalized measure Black-Scholes equation: Towards option self-similar pricing
by: Riane, Nizar, et al.
Published: (2024)
by: Riane, Nizar, et al.
Published: (2024)
Unsupervised Learning-based Calibration Scheme for Rough Volatility Models
by: Teng, Changqing, et al.
Published: (2024)
by: Teng, Changqing, et al.
Published: (2024)
Correct implied volatility shapes and reliable pricing in the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2024)
by: Boyarchenko, Svetlana, et al.
Published: (2024)
Numerical methods for optimal decumulation of a defined contribution pension plan
by: Forsyth, Peter A., et al.
Published: (2026)
by: Forsyth, Peter A., et al.
Published: (2026)
Rough volatility, path-dependent PDEs and weak rates of convergence
by: Bonesini, Ofelia, et al.
Published: (2023)
by: Bonesini, Ofelia, et al.
Published: (2023)
Pricing and calibration in the 4-factor path-dependent volatility model
by: Gazzani, Guido, et al.
Published: (2024)
by: Gazzani, Guido, et al.
Published: (2024)
Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
by: Putri, Nunik Srikandi, et al.
Published: (2026)
by: Putri, Nunik Srikandi, et al.
Published: (2026)
Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
by: Choi, Jaehyuk, et al.
Published: (2023)
by: Choi, Jaehyuk, et al.
Published: (2023)
Optimal hedging of a perpetual American put with a single trade
by: Cai, Cheng, et al.
Published: (2020)
by: Cai, Cheng, et al.
Published: (2020)
Calibration of the Bass Local Volatility model
by: Acciaio, Beatrice, et al.
Published: (2023)
by: Acciaio, Beatrice, et al.
Published: (2023)
Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends
by: Saqur, Raeid
Published: (2026)
by: Saqur, Raeid
Published: (2026)
Arbitrage-Free Option Price Surfaces via Chebyshev Tensor Bases and a Hamiltonian Fog Post-Fit
by: Alvarez, Robert Jenkinson
Published: (2025)
by: Alvarez, Robert Jenkinson
Published: (2025)
Hedging in Jump Diffusion Model with Transaction Costs
by: Almani, Hamidreza Maleki, et al.
Published: (2024)
by: Almani, Hamidreza Maleki, et al.
Published: (2024)
Efficient simulation of a new class of Volterra-type SDEs
by: Bonesini, Ofelia, et al.
Published: (2023)
by: Bonesini, Ofelia, et al.
Published: (2023)
Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
by: Andersson, Kristoffer, et al.
Published: (2025)
by: Andersson, Kristoffer, et al.
Published: (2025)
Pricing with Passion: The Local Occupied Volatility (LOV) Model
by: Tissot-Daguette, Valentin
Published: (2026)
by: Tissot-Daguette, Valentin
Published: (2026)
Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk
by: Hammouda, Chiheb Ben, et al.
Published: (2026)
by: Hammouda, Chiheb Ben, et al.
Published: (2026)
Machine-learning regression methods for American-style path-dependent contracts
by: Gambara, Matteo, et al.
Published: (2023)
by: Gambara, Matteo, et al.
Published: (2023)
Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
by: Coffie, Emmanuel
Published: (2025)
by: Coffie, Emmanuel
Published: (2025)
Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
by: Hammouda, Chiheb Ben, et al.
Published: (2026)
by: Hammouda, Chiheb Ben, et al.
Published: (2026)
A Monotone Limit Approach to Entropy-Regularized American Options
by: Chee, Daniel, et al.
Published: (2026)
by: Chee, Daniel, et al.
Published: (2026)
Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options
by: Bayer, Christian, et al.
Published: (2024)
by: Bayer, Christian, et al.
Published: (2024)
Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
by: Han, Bingyan, et al.
Published: (2023)
by: Han, Bingyan, et al.
Published: (2023)
On an Optimal Stopping Problem with a Discontinuous Reward
by: Mackay, Anne, et al.
Published: (2023)
by: Mackay, Anne, et al.
Published: (2023)
High order approximations and simulation schemes for the log-Heston process
by: Alfonsi, Aurélien, et al.
Published: (2024)
by: Alfonsi, Aurélien, et al.
Published: (2024)
A pure dual approach for hedging Bermudan options
by: Alfonsi, Aurélien, et al.
Published: (2024)
by: Alfonsi, Aurélien, et al.
Published: (2024)
Optimal strategy and deep hedging for share repurchase programs
by: Corti, Stefano, et al.
Published: (2026)
by: Corti, Stefano, et al.
Published: (2026)
Rough volatility dynamics in commodity markets
by: Daluiso, Roberto, et al.
Published: (2026)
by: Daluiso, Roberto, et al.
Published: (2026)
Pricing Quanto and Composite Contracts with Local-Correlation Models
by: Pallavicini, Andrea
Published: (2025)
by: Pallavicini, Andrea
Published: (2025)
Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm
by: Hsieh, Chung-Han, et al.
Published: (2025)
by: Hsieh, Chung-Han, et al.
Published: (2025)
Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
by: Jaber, Eduardo Abi, et al.
Published: (2025)
by: Jaber, Eduardo Abi, et al.
Published: (2025)
On variable annuities with surrender charges
by: De Angelis, Tiziano, et al.
Published: (2024)
by: De Angelis, Tiziano, et al.
Published: (2024)
Similar Items
-
On the Weak Error for Local Stochastic Volatility Models
by: Friz, Peter K., et al.
Published: (2025) -
Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023) -
American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework
by: Shah, Roshan
Published: (2025) -
Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach
by: Ahmed, Aqib, et al.
Published: (2026) -
Black-Scholes Model, comparison between Analytical Solution and Numerical Analysis
by: Romaggi, Francesco
Published: (2025)