Imagen de Portada

Defaultable bond liquidity spread estimation: an option-based approach

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Rossi, Pietro, Spezzati, Paolo, Tedeschi, Riccardo
Formato:	Preprint
Publicado:	2025
Materias:	Pricing of Securities Computational Finance
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Deep calibration with random grids
por: Baschetti, Fabio, et al.
Publicado: (2023)

Semi-analytical pricing of options written on SOFR futures
por: Itkin, Andrey, et al.
Publicado: (2024)

Floating exercise boundaries for American options in time-inhomogeneous models
por: Itkin, Andrey, et al.
Publicado: (2025)

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

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
por: Łabędzki, Mikołaj
Publicado: (2025)

Learning the Exact SABR Model
por: Rensi, Giorgia, et al.
Publicado: (2025)

Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
por: Itkin, Andrey
Publicado: (2023)

American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions
por: Itkin, Andrey
Publicado: (2025)

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

Fast and General Simulation of Lévy-driven Ornstein Uhlenbeck processes for Energy Derivatives
por: Baviera, Roberto, et al.
Publicado: (2024)

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

CATNet: A geometric deep learning approach for CAT bond spread prediction in the primary market
por: Domfeh, Dixon, et al.
Publicado: (2025)

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

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

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
por: Floc'h, Fabien Le
Publicado: (2023)

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

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

NUFFT for the Fast COS Method
por: LeFloc'h, Fabien
Publicado: (2025)

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

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

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

Social Media Emotions and Market Behavior
por: Vamossy, Domonkos F.
Publicado: (2024)

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

Faster Monotone Implied Volatility Solver
por: Floc'h, Fabien Le
Publicado: (2026)

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

Deep Hedging Bermudan Swaptions
por: Oya, Kenjiro
Publicado: (2024)

The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return
por: Martin, Richard J.
Publicado: (2022)

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

Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
por: Halperin, Igor, et al.
Publicado: (2025)

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

Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)

Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
por: Choi, Jaehyuk
Publicado: (2024)

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

Volatility models in practice: Rough, Path-dependent or Markovian?
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)

Feynman-Kac Derivatives Pricing on the Full Forward Curve
por: Mott, Kevin
Publicado: (2026)

Pricing Barrier Options with DeepBSDEs
por: Ganesan, Narayan, et al.
Publicado: (2020)

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

A Unifying Approach for the Pricing of Debt Securities
por: Vachon, Marie-Claude, et al.
Publicado: (2024)

Risk-neutral valuation of options under arithmetic Brownian motions
por: Liu, Qiang, et al.
Publicado: (2024)

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