Imagen de Portada

Universal approximation on non-geometric rough paths and applications to financial derivatives pricing

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Harang, Fabian A., Benth, Fred Espen, Straum, Fride
Formato:	Preprint
Publicado:	2024
Materias:	Functional Analysis Probability Pricing of Securities
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

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

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

Bid--Ask Martingale Optimal Transport
por: Liang, Bryan, et al.
Publicado: (2026)

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

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

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

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

European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis
por: Nzokem, A. H.
Publicado: (2023)

Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
por: Agarwal, A., et al.
Publicado: (2024)

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

A review of the Markov model of life insurance with a view to surplus
por: Haçarız, Oytun, et al.
Publicado: (2025)

A recursive formula for the $n^\text{th}$ survival function and the $n^\text{th}$ first passage time distribution for jump and diffusion processes. Applications to the pricing of $n^\text{th}$-to-default CDS
por: Lapolla, Alessio
Publicado: (2025)

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

Functional quantization of rough volatility and applications to volatility derivatives
por: Bonesini, Ofelia, et al.
Publicado: (2021)

Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
por: Choulli, Tahir, et al.
Publicado: (2024)

On the valuation of life insurance policies for dependent coupled lives
por: Henshaw, Kira, et al.
Publicado: (2024)

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

Heat modulated affine stochastic volatility models for forward curve dynamics
por: Karbach, Sven
Publicado: (2024)

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

Handling model risk with XVAs
por: Bénézet, Cyril, et al.
Publicado: (2022)

Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
por: Hanbali, Hamza, et al.
Publicado: (2025)

An extended CIR process with stochastic discontinuities
por: Fontana, Claudio, et al.
Publicado: (2025)

Berms without Calibration
por: Feldman, K. E.
Publicado: (2025)

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

Fair sharing ratios of Profit and Loss sharing contracts
por: Sagna, Abass
Publicado: (2025)

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

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

Denoised Monte Carlo for option pricing and Greeks estimation
por: Daniluk, Andrzej, et al.
Publicado: (2024)

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

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

Enforcing asymptotic behavior with DNNs for approximation and regression in finance
por: Routray, Hardik, et al.
Publicado: (2024)

Risk-indifference Pricing of American-style Contingent Claims
por: Kumar, Rohini, et al.
Publicado: (2024)

Universal approximation by signatures for infinite-dimensional rough paths
por: Cox, Sonja, et al.
Publicado: (2026)

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

Scaling Limits for Exponential Hedging in the Brownian Framework
por: Dolinksy, Yan, et al.
Publicado: (2025)

Dynamic Asset Pricing Theory for Life Contingent Risks
por: Ling, Patrick
Publicado: (2025)

European Options in Market Models with Multiple Defaults: the BSDE approach
por: Grigorova, Miryana, et al.
Publicado: (2026)

Notes on Correlation Stress Tests
por: Chmielowski, Piotr
Publicado: (2025)

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

Interest rate convexity in a Gaussian framework
por: Jacquier, Antoine, et al.
Publicado: (2023)