:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Goudenege, Ludovic, Molent, Andrea, Zanette, Antonino
Format:	Preprint
Published:	2024
Subjects:	Computational Finance
Online Access:	https://arxiv.org/abs/2407.13213
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

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

Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
by: Goudenège, Ludovic, et al.
Published: (2024)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)

Deep Learning Option Pricing with Market Implied Volatility Surfaces
by: Ding, Lijie, et al.
Published: (2025)

Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates
by: Hao, Nicole, et al.
Published: (2024)

Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023)

Can Machine Learning Algorithms Outperform Traditional Models for Option Pricing?
by: Milyushkov, Georgy
Published: (2025)

Differential Machine Learning for 0DTE Options with Stochastic Volatility and Jumps
by: Sakuma, Takayuki
Published: (2026)

Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
by: Zaugg, Nicola F., et al.
Published: (2024)

The Life Care Annuity: enhancing product features and refining pricing methods
by: Apicella, G., et al.
Published: (2024)

Pricing American Options using Machine Learning Algorithms
by: Djagba, Prudence, et al.
Published: (2024)

An Efficient Machine Learning Framework for Option Pricing via Fourier Transform
by: Zhang, Liying, et al.
Published: (2025)

Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
by: Ter-Avanesov, Boris, et al.
Published: (2024)

Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
by: Guillaume, Tristan
Published: (2026)

Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility
by: Sun, Julia, et al.
Published: (2026)

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

Pricing Barrier Options with DeepBSDEs
by: Ganesan, Narayan, et al.
Published: (2020)

Stochastic Expansion for the Pricing of Asian and Basket Options
by: Floc'h, Fabien Le
Published: (2024)

KANOP: A Data-Efficient Option Pricing Model using Kolmogorov-Arnold Networks
by: Handal, Rushikesh, et al.
Published: (2024)

Stochastic Policy Gradient Methods in the Uncertain Volatility Model
by: Abbas-Turki, Lokman A, et al.
Published: (2026)

American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework
by: Shah, Roshan
Published: (2025)

End-to-End PDE-Based Quantum Algorithms for Multi-Asset Option Pricing under Local and Stochastic Volatility
by: Guseynov, Nikita, et al.
Published: (2026)

On Pricing of Discrete Asian and Lookback Options under the Heston Model
by: Perotti, Leonardo, et al.
Published: (2022)

Firm Disclosures, Uncertain Profits, and (Indirectly) Priced Idiosyncratic Volatility
by: Xuhui (Nick) Pan, et al.
Published: (2025)

Pricing Lookback Options on a Quantum Computer
by: Paquette, Florence, et al.
Published: (2026)

Machine Learning Methods for Pricing Financial Derivatives
by: Fan, Lei, et al.
Published: (2024)

A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-dimensional American Options
by: Zhuang, Jirong, et al.
Published: (2023)

Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium
by: JEFFERSON DUARTE, et al.
Published: (2024)

From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market
by: Zhang, Wenxuan, et al.
Published: (2026)

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

Neural Term Structure of Additive Process for Option Pricing
by: Lin, Jimin, et al.
Published: (2024)

American Call Options Pricing With Modular Neural Networks
by: Unnikrishnan, Ananya
Published: (2024)

Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
by: Putri, Nunik Srikandi, et al.
Published: (2026)

Finance-Informed Neural Network: Learning the Geometry of Option Pricing
by: Aboussalah, Amine M., et al.
Published: (2024)

Pricing American Parisian Options under General Time-Inhomogeneous Markov Models
by: Liu, Yuhao, et al.
Published: (2025)

European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning
by: Pande, Naman Krishna, et al.
Published: (2024)

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

Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
by: Qiu, Jinniao, et al.
Published: (2024)

Option Pricing with Convolutional Kolmogorov-Arnold Networks
by: Li, Zeyuan, et al.
Published: (2024)

Real Option Pricing using Quantum Computers
by: Manzano, Alberto, et al.
Published: (2023)