Cover Image

No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Calvelli, Alessio
Format:	Preprint
Published:	2022
Subjects:	Pricing of Securities
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions
by: Gao, Zhaoxing, et al.
Published: (2025)

Feynman-Kac Derivatives Pricing on the Full Forward Curve
by: Mott, Kevin
Published: (2026)

Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation
by: Kyakutwika, Nelson, et al.
Published: (2025)

Generic Forward Curve Dynamics for Commodity Derivatives
by: Xiao, David
Published: (2023)

On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
by: Moriya, Koichiro, et al.
Published: (2023)

Pricing Fractal Derivatives under Sub-Mixed Fractional Brownian Motion with Jumps
by: Karimi, Nader
Published: (2025)

Comparative Study of Monte Carlo and Quasi-Monte Carlo Techniques for Enhanced Derivative Pricing
by: Case, Giacomo
Published: (2025)

Data-driven Option Pricing
by: Dai, Min, et al.
Published: (2024)

The Co-Pricing Factor Zoo
by: Dickerson, Alexander, et al.
Published: (2026)

Priced risk in corporate bonds
by: Dickerson, Alexander, et al.
Published: (2026)

An Asymmetric Capital Asset Pricing Model
by: Hatemi-J, Abdulnasser
Published: (2024)

Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
by: Floc'h, Fabien Le
Published: (2025)

Asset Pricing in the Presence of Market Microstructure Noise
by: Yegon, Peter, et al.
Published: (2025)

Empirical Models of the Time Evolution of SPX Option Prices
by: Brini, Alessio, et al.
Published: (2025)

Asset Pricing Model in Markets of Imperfect Information and Subjective Views
by: Lalioui, Hafid, et al.
Published: (2025)

Fair Pricing in Long-Term Insurance: A Unified Framework
by: Lim, Hong Beng, et al.
Published: (2026)

A3T-GCN for FTSE100 Components Price Forecasting
by: Paredes, A. L.
Published: (2025)

Dynamic Asset Pricing with α-MEU Model
by: Fan, Jiacheng, et al.
Published: (2025)

Unifying Market Microstructure and Dynamic Asset Pricing
by: Lauria, Davide, et al.
Published: (2023)

Keeping Up with the Correlations: Stochastic Spot/Volatility Correlation and Exotic Pricing
by: Higgins, Mark
Published: (2026)

Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks
by: Molla, Hasib Uddin, et al.
Published: (2025)

Pricing and hedging the prepayment option of mortgages under stochastic housing market activity
by: Perotti, Leonardo, et al.
Published: (2025)

Statistical Arbitrage in Options Markets by Graph Learning and Synthetic Long Positions
by: Hong, Yoonsik, et al.
Published: (2025)

Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
by: Cheng, Liexin, et al.
Published: (2024)

Perpetual Futures Pricing
by: Ackerer, Damien, et al.
Published: (2023)

Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate
by: Goudenège, Ludovic, et al.
Published: (2025)

Multi-Task Dynamic Pricing in Credit Market with Contextual Information
by: Javanmard, Adel, et al.
Published: (2024)

To Bubble or Not to Bubble: Asset Price Dynamics and Optimality in OLG Economies
by: Bosi, Stefano, et al.
Published: (2025)

Stochastic PDEs and Quantitative Finance: The Black-Scholes-Merton Model of Options Pricing and Riskless Trading
by: Kaplowitz, Brandon, et al.
Published: (2012)

Option Pricing with Time-Varying Volatility Risk Aversion
by: Hansen, Peter Reinhard, et al.
Published: (2022)

Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
by: Gnawali, Jagdish, et al.
Published: (2024)

Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
by: Lindquist, W. Brent, et al.
Published: (2024)

European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis
by: Nzokem, A. H.
Published: (2023)

Common Idiosyncratic Quantile Factors and Asset Prices
by: Barunik, Jozef, et al.
Published: (2022)

Pricing of wrapped Bitcoin and Ethereum on-chain options
by: Zbandut, Anastasiia
Published: (2025)

Pricing of European Calls with the Quantum Fourier Transform
by: Ewen, Tom
Published: (2024)

Quantum Amplitude Loading for Rainbow Options Pricing
by: Cibrario, Francesca, et al.
Published: (2024)

Electricity Price Forecasting in the Irish Balancing Market
by: O'Connor, Ciaran, et al.
Published: (2024)

On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models
by: Ghysels, Eric, et al.
Published: (2024)

Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model
by: Olkhov, Victor
Published: (2022)