Copertina

An analysis of linear regression and neural networks approximation for the pricing of swing options

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autore principale:	Yeo, Christian
Natura:	Preprint
Pubblicazione:	2023
Soggetti:	Mathematical Finance
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Convex ordering for stochastic control: the (path dependent) swing contracts case
di: Pagès, Gilles, et al.
Pubblicazione: (2024)

Swing contract pricing: with and without Neural Networks
di: Lemaire, Vincent, et al.
Pubblicazione: (2023)

A multifractional option pricing formula
di: Araneda, Axel A.
Pubblicazione: (2023)

Asian option valuation under price impact
di: Tiwari, Priyanshu, et al.
Pubblicazione: (2025)

Semi-analytical pricing of options written on SOFR futures
di: Itkin, Andrey, et al.
Pubblicazione: (2024)

A market resilient data-driven approach to option pricing
di: Goswami, Anindya, et al.
Pubblicazione: (2024)

Quantum Monte Carlo algorithm for option pricing and its complexity analysis
di: Chen, Jianjun, et al.
Pubblicazione: (2023)

Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options
di: Woo, Jeechul, et al.
Pubblicazione: (2018)

Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
di: Itkin, Andrey
Pubblicazione: (2023)

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
di: Łabędzki, Mikołaj
Pubblicazione: (2025)

Discrete approximation of risk-based prices under volatility uncertainty
di: Blessing, Jonas, et al.
Pubblicazione: (2024)

Semi-analytical pricing of American options with hybrid dividends via integral equations and the GIT method
di: Itkin, Andrey
Pubblicazione: (2025)

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
di: Floc'h, Fabien Le
Pubblicazione: (2023)

Pricing options on the cryptocurrency futures contracts
di: Kończal, Julia
Pubblicazione: (2025)

Signature approach for pricing and hedging path-dependent options with frictions
di: Jaber, Eduardo Abi, et al.
Pubblicazione: (2025)

Time Deep Gradient Flow Method for pricing American options
di: Rou, Jasper
Pubblicazione: (2025)

Collective completeness and pricing hedging duality
di: Doldi, Alessandro, et al.
Pubblicazione: (2025)

Pricing American options with exogenous and endogenous transaction costs
di: Yan, Dong, et al.
Pubblicazione: (2025)

Tackling estimation risk in Kelly investing using options
di: Lillo, Fabrizio, et al.
Pubblicazione: (2025)

Reference-dependent asset pricing with a stochastic consumption-dividend ratio
di: Aquino, Luca De Gennaro, et al.
Pubblicazione: (2024)

Dynamic graph neural networks for enhanced volatility prediction in financial markets
di: Kumar, Pulikandala Nithish, et al.
Pubblicazione: (2024)

On the implied volatility of Inverse options under stochastic volatility models
di: Alòs, Elisa, et al.
Pubblicazione: (2023)

On the implied volatility of Asian options under stochastic volatility models
di: Alòs, Elisa, et al.
Pubblicazione: (2022)

Joint calibration to SPX and VIX options with signature‐based models
di: Christa Cuchiero, et al.
Pubblicazione: (2024)

Pricing and hedging short-maturity Asian options in local volatility models
di: Kim, Jaehyun, et al.
Pubblicazione: (2019)

The additive Bachelier model with an application to the oil option market in the Covid period
di: Baviera, Roberto, et al.
Pubblicazione: (2025)

On robust fundamental theorems of asset pricing in discrete time
di: Chau, Huy N.
Pubblicazione: (2020)

The fundamental theorem of asset pricing with and without transaction costs
di: Christoph Kühn
Pubblicazione: (2024)

Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
di: Jaber, Eduardo Abi, et al.
Pubblicazione: (2022)

Quantum Advantage for Multi-option Portfolio Pricing and Valuation Adjustments
di: Han, Jeong Yu, et al.
Pubblicazione: (2022)

Floating exercise boundaries for American options in time-inhomogeneous models
di: Itkin, Andrey, et al.
Pubblicazione: (2025)

Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics
di: Leung, Tim, et al.
Pubblicazione: (2025)

Asset pricing under model uncertainty with discrete time and states
di: Yang, Shuzhen, et al.
Pubblicazione: (2024)

On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
di: Alòs, Elisa, et al.
Pubblicazione: (2023)

Pricing time-capped American options using Least Squares Monte Carlo method
di: Stȩpniak, Paweł, et al.
Pubblicazione: (2025)

Option pricing model under the G-expectation framework
di: Pei, Ziting, et al.
Pubblicazione: (2026)

$ρ$-arbitrage and $ρ$-consistent pricing for star-shaped risk measures
di: Herdegen, Martin, et al.
Pubblicazione: (2022)

Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules
di: Lorenzo Bastianello, et al.
Pubblicazione: (2024)

An arbitrage driven price dynamics of Automated Market Makers in the presence of fees
di: Najnudel, Joseph, et al.
Pubblicazione: (2024)

Approximating intractable short ratemodel distribution with neural network
di: Knezevic, Anna, et al.
Pubblicazione: (2019)