Cover Image

Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Li, Fengpei, Chen, Haoxian, Lin, Jiahe, Gupta, Arkin, Tan, Xiaowei, Zhao, Honglei, Xu, Gang, Nevmyvaka, Yuriy, Capponi, Agostino, Lam, Henry
Format:	Preprint
Published:	2024
Subjects:	Machine Learning Computational Engineering, Finance, and Science Pricing of Securities
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

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

CapOptix: An Options-Framework for Capacity Market Pricing
by: Roy, Millend, et al.
Published: (2025)

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

Unveiling Nonlinear Dynamics in Catastrophe Bond Pricing: A Machine Learning Perspective
by: Chen, Xiaowei, et al.
Published: (2024)

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

Designing funding rates for perpetual futures in cryptocurrency markets
by: Kim, Jaehyun, et al.
Published: (2025)

Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
by: Floc'h, Fabien Le
Published: (2025)

Amortizing Perpetual Options
by: Feinstein, Zachary
Published: (2025)

Super-efficiency and Stock Market Valuation: Evidence from Listed Banks in China (2006 to 2023)
by: Liao, Yun
Published: (2024)

Small Volatility Approximation and Multi-Factor HJM Models
by: Belyaev, V. M.
Published: (2025)

Common Idiosyncratic Quantile Factors and Asset Prices
by: Barunik, Jozef, et al.
Published: (2022)

Analytic Pricing of SOFR Futures Contracts with Smile and Skew
by: Romero-Bermúdez, Aurelio, et al.
Published: (2024)

Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
by: Cheng, Liexin, et al.
Published: (2024)

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

Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
by: Press, William H., et al.
Published: (2026)

Explicit Rational Formulae for Bachelier (Normal) Implied Volatility
by: Floc'h, Fabien Le
Published: (2026)

Social Media Emotions and Market Behavior
by: Vamossy, Domonkos F.
Published: (2024)

Unifying Market Microstructure and Dynamic Asset Pricing
by: Lauria, Davide, et al.
Published: (2023)

Fundamentals of Perpetual Futures
by: He, Songrun, et al.
Published: (2022)

The Volterra Stein-Stein model with stochastic interest rates
by: Jaber, Eduardo Abi, et al.
Published: (2025)

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

HJM Local Volatility Model
by: Belyaev, V. M.
Published: (2023)

Risks of heterogeneously persistent higher moments
by: Barunik, Jozef, et al.
Published: (2021)

Multi-asset and generalised Local Volatility. An efficient implementation
by: Deloire, Olivier, et al.
Published: (2024)

Perpetual Futures Pricing
by: Ackerer, Damien, et al.
Published: (2023)

An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
by: Wu, Keyuan, et al.
Published: (2025)

Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data
by: Serafini, Simone, et al.
Published: (2025)

SABR Type Libor (Forward) Market Model (SABR/LMM) with time-dependent skew and smile
by: Tsuchiya, Osamu
Published: (2026)

Volatility Shocks and Currency Returns
by: Babiak, Mykola, et al.
Published: (2021)

Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
by: Cheng, Liexin, et al.
Published: (2024)

NUFFT for the Fast COS Method
by: LeFloc'h, Fabien
Published: (2025)

Explicit local volatility formula for Cheyette-type interest rate models
by: Gairat, Alexander, et al.
Published: (2025)

Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
by: Liu, Yuhao, et al.
Published: (2025)

To Bubble or Not to Bubble: Asset Price Dynamics and Optimality in OLG Economies
by: Bosi, Stefano, et al.
Published: (2025)

Deep calibration with random grids
by: Baschetti, Fabio, et al.
Published: (2023)

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

Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach
by: Hou, Liang, et al.
Published: (2024)

Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
by: Lindquist, W. Brent, et al.
Published: (2024)

Faster Monotone Implied Volatility Solver
by: Floc'h, Fabien Le
Published: (2026)

Risk-Neutral Generative Networks
by: Xian, Zhonghao, et al.
Published: (2024)