Cover Image

Generalized measure Black-Scholes equation: Towards option self-similar pricing

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Riane, Nizar, David, Claire
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance 28A80 - 91G20 - 65L12 - 65L20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Rough differential equations for volatility
by: Bonesini, Ofelia, et al.
Published: (2024)

Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach
by: Hellmuth, Kathrin, et al.
Published: (2022)

A pure dual approach for hedging Bermudan options
by: Alfonsi, Aurélien, et al.
Published: (2024)

Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
by: Das, Kaustav, et al.
Published: (2018)

Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework
by: Das, Kaustav, et al.
Published: (2020)

A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models
by: Georgoulis, Emmanuil H., et al.
Published: (2024)

Spectral Determinants of Almost Equilateral Quantum Graphs
by: Harrison, Jonathan, et al.
Published: (2024)

A monotone piecewise constant control integration approach for the two-factor uncertain volatility model
by: Dang, Duy-Minh, et al.
Published: (2024)

A Càdlàg Rough Path Foundation for Robust Finance
by: Allan, Andrew L., et al.
Published: (2021)

Correct implied volatility shapes and reliable pricing in the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2024)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)

Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach
by: Ahmed, Aqib, et al.
Published: (2026)

Hereditarily Structurally Complete Superintuitionistic Logics and Primitive Varieties of Heyting Algebras
by: Citkin, Alex
Published: (2025)

Enhancing Fourier pricing with machine learning
by: Junike, Gero, et al.
Published: (2024)

Adaptive IQ and IMQ-RBFs for solving Initial Value Problems: Adam-Bashforth and Adam-Moulton methods
by: Rathan, Samala, et al.
Published: (2023)

Understanding the ultraspherical spectral method
by: Cheng, Lu, et al.
Published: (2024)

Improved Model-based Reinforcement Learning with Smooth Kernels
by: Long, Kun, et al.
Published: (2026)

Determining superconvergence points for $L2-1_σ$ scheme of variable-exponent subdiffusion and error estimate
by: Huang, Hongying, et al.
Published: (2024)

Point Prediction for Streaming Data
by: Chanda, Aleena, et al.
Published: (2024)

Two statistical problems for multivariate mixture distributions
by: Fraiman, Ricardo, et al.
Published: (2025)

Stability theory of TASE-Runge-Kutta methods with inexact Jacobian
by: Conte, D., et al.
Published: (2024)

A Two-Stage Training Method for Modeling Constrained Systems With Neural Networks
by: Coelho, C., et al.
Published: (2024)

A novel iterative time integration scheme for linear poroelasticity
by: Altmann, R., et al.
Published: (2023)

Primal and dual optimal stopping with signatures
by: Bayer, Christian, et al.
Published: (2023)

Improving the Accuracy of the Exponentially Fitted Scheme on Piecewise Uniform Meshes
by: Vulanović, Relja
Published: (2026)

Maximum Cut on Interval Graphs of Interval Count Two is NP-complete
by: Barsukov, Alexey, et al.
Published: (2022)

Projective systems and bounds on the length of codes of non-zero defect
by: Alderson, Tim L., et al.
Published: (2025)

Algebraic Structure of the Weak Stage Order Conditions for Runge-Kutta Methods
by: Biswas, Abhijit, et al.
Published: (2022)

Explicit Runge Kutta Methods that Alleviate Order Reduction
by: Biswas, Abhijit, et al.
Published: (2023)

Splitting Techniques for DAEs with port-Hamiltonian Applications
by: Bartel, Andreas, et al.
Published: (2024)

Nonlinear numerical schemes using specular differentiation for initial value problems of first-order ordinary differential equations
by: Jung, Kiyuob
Published: (2026)

A note on the stability of two families of two-step schemes
by: Wang, Xiaoming, et al.
Published: (2024)

Exploring Exponential Runge-Kutta Methods: A Survey
by: andò, Alessia, et al.
Published: (2025)

On the stability of IMEX BDF methods for DDEs and PDDEs
by: Tercero-Báez, Ana, et al.
Published: (2024)

Pricing American options under rough volatility using deep-signatures and signature-kernels
by: Bayer, Christian, et al.
Published: (2025)

Combined methods for solving time-varying semilinear differential-algebraic equations with the use of spectral projectors and applications
by: Filipkovska, Maria
Published: (2022)

Explicit adaptive time stepping for the Cahn-Hilliard equation by exponential Krylov subspace and Chebyshev polynomial methods
by: Botchev, Mike A.
Published: (2025)

Runge--Kutta numerical methods for ruin probabilities in classical risk model
by: Kanakoudis, George, et al.
Published: (2026)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)

How can the dual martingale help solving the primal optimal stopping problem?
by: Alfonsi, Aurélien, et al.
Published: (2026)