Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866911784182480896 |
|---|---|
| author | Boyarchenko, Svetlana Levendorskiĭ, Sergei |
| author_facet | Boyarchenko, Svetlana Levendorskiĭ, Sergei |
| contents | This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in Lévy models". We introduce the class of regime-switching Lévy models with memory, which take into account the evolution of the stochastic parameters in the past. This generalization of the class of Lévy models modulated by Markov chains is similar in spirit to rough volatility models. It is flexible and suitable for application of the machine-learning tools. We formulate the modification of the numerical method in ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in Lévy models", which has the same number of the main time-consuming blocks as the method for Markovian regime-switching models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_16724 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory Boyarchenko, Svetlana Levendorskiĭ, Sergei Pricing of Securities Computational Finance 60-08, 42A38, 42B10, 44A10, 65R10, 65G51, 91G20, 91G60 This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in Lévy models". We introduce the class of regime-switching Lévy models with memory, which take into account the evolution of the stochastic parameters in the past. This generalization of the class of Lévy models modulated by Markov chains is similar in spirit to rough volatility models. It is flexible and suitable for application of the machine-learning tools. We formulate the modification of the numerical method in ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in Lévy models", which has the same number of the main time-consuming blocks as the method for Markovian regime-switching models. |
| title | Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory |
| topic | Pricing of Securities Computational Finance 60-08, 42A38, 42B10, 44A10, 65R10, 65G51, 91G20, 91G60 |
| url | https://arxiv.org/abs/2402.16724 |