Cover Image

Denoised Monte Carlo for option pricing and Greeks estimation

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Daniluk, Andrzej, Lakshtanov, Evgeny, Muchorski, Rafal
Format:	Preprint
Published:	2024
Subjects:	Pricing of Securities
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Alternatives to classical option pricing
by: Lindquist, W. Brent, et al.
Published: (2024)

On some semi-parametric estimates for European option prices
by: Marinelli, Carlo
Published: (2023)

Short-maturity asymptotics for option prices with interest rates effects
by: Pirjol, Dan, et al.
Published: (2024)

Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model
by: Divelgama, Bhathiya, et al.
Published: (2025)

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

VIX options in the SABR model
by: Pirjol, Dan, et al.
Published: (2025)

VIX options in Bergomi models
by: Guo, Desen, et al.
Published: (2026)

American option pricing using generalised stochastic hybrid systems
by: Buckwar, Evelyn, et al.
Published: (2024)

Multivariate Lévy models: calibration and pricing
by: Amici, Giovanni, et al.
Published: (2023)

Defaultable bond liquidity spread estimation: an option-based approach
by: Rossi, Pietro, et al.
Published: (2025)

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

Asian options for local-stochastic volatility models in the short-maturity regime
by: Pirjol, Dan, et al.
Published: (2024)

Short-maturity options on realized variance in local-stochastic volatility models
by: Pirjol, Dan, et al.
Published: (2024)

Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
by: Pirjol, Dan, et al.
Published: (2024)

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

A general framework for pricing and hedging under local viability
by: Chau, Huy N., et al.
Published: (2024)

Valuation Model of Chinese Convertible Bonds Based on Monte Carlo Simulation
by: Liu, Yu
Published: (2024)

SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
by: Ferreiro, A. M., et al.
Published: (2024)

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

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
by: Cherif, Dorsaf, et al.
Published: (2024)

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

A Two-Step Longstaff Schwartz Monte Carlo Approach to Game Option Pricing
by: Wang, Ce
Published: (2024)

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

Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices
by: Blanco, Sara Ana Solanilla
Published: (2024)

VIX and European options with jumps in the short-maturity regime
by: Guo, Desen, et al.
Published: (2026)

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

Deep learning of transition probability densities for stochastic asset models with applications in option pricing
by: Su, Haozhe, et al.
Published: (2021)

Quantum Architecture Search for Quantum Monte Carlo Integration via Conditional Parameterized Circuits with Application to Finance
by: Wolf, Mark-Oliver, et al.
Published: (2023)

On options-driven realized volatility forecasting: Information gains via rough volatility model
by: Fan, Zheqi, et al.
Published: (2026)

Pricing of barrier options by marginal functional quantization
by: Sagna, Abass
Published: (2010)

Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
by: Baldacci, Bastien, et al.
Published: (2024)

PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
by: López-Salas, J. G., et al.
Published: (2024)

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

Efficient Monte Carlo Valuation of Corporate Bonds in Financial Networks
by: Ahn, Dohyun, et al.
Published: (2026)

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

Universal approximation on non-geometric rough paths and applications to financial derivatives pricing
by: Harang, Fabian A., et al.
Published: (2024)

Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using Crunchbase data
by: Maréchal, Loïc, et al.
Published: (2024)

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

The Carbon Premium: Correlation or Causation? Evidence from S&P 500 Companies
by: Sankar, Namasi G., et al.
Published: (2024)

On short-time behavior of implied volatility in a market model with indexes
by: Chau, Huy N., et al.
Published: (2024)