Image de couverture de livre

Extreme value theory for geometric Brownian motion and pricing of short maturity barrier options

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteur principal:	Ng, Ze-An
Format:	Preprint
Publié:	2025
Sujets:	Probability 60H10
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Worst-case mixing estimates for Brownian motion with semipermeable barriers
par: Van Werde, Alexander, et autres
Publié: (2025)

An Itô-Wentzell formula for the fractional Brownian motion
par: Maia, Luís
Publié: (2024)

Stochastic equations with singular drift driven by fractional Brownian motion
par: Butkovsky, Oleg, et autres
Publié: (2023)

Study of direct and inverse first-exit problems for drifted Brownian motion with Poissonian resetting
par: Abundo, Mario
Publié: (2025)

Driven by Brownian motion Cox-Ingersoll-Ross and squared Bessel processes: interaction and phase transition
par: Mishura, Yuliya, et autres
Publié: (2024)

Recovering semipermeable barriers from reflected Brownian motion
par: Van Werde, Alexander, et autres
Publié: (2024)

Large deviation principle for slow-fast system with mixed fractional Brownian motion
par: Inahama, Yuzuru, et autres
Publié: (2023)

Stochastic differential equations driven by fractional Brownian motion: dependence on the Hurst parameter
par: Kwossek, Anna P., et autres
Publié: (2025)

On the positivity of the density of stochastic delay differential equations driven by a fractional Brownian motion
par: Burés, Òscar, et autres
Publié: (2024)

Large deviation principle for a backward stochastic differential equation driven by $G$-Brownian motion with subdifferential operator
par: Hima, Abdoulaye Soumana, et autres
Publié: (2020)

Moderate deviations for two-time scale systems with mixed fractional Brownian motion
par: Yang, Xiaoyu, et autres
Publié: (2023)

Large deviations of slow-fast systems driven by fractional Brownian motion
par: Gailus, Siragan, et autres
Publié: (2022)

Uniform pathwise stability of additive singular SDEs driven by fractional Brownian motion
par: Dareiotis, Konstantinos, et autres
Publié: (2025)

Eigenvalues, eigenvector-overlaps, and regularized Fuglede-Kadison determinant of the non-Hermitian matrix-valued Brownian motion
par: Esaki, Syota, et autres
Publié: (2023)

On the geometric Brownian motion with state-dependent variable exponent diffusion term
par: Avci, Mustafa
Publié: (2025)

Large deviation principle for slow-fast systems with infinite-dimensional mixed fractional Brownian motion
par: Xu, Wenting, et autres
Publié: (2024)

Almost Periodic and Periodic Solutions of Differential Equations Driven by the Fractional Brownian Motion with Statistical Application
par: Marie, Nicolas, et autres
Publié: (2020)

Some asymptotics for short maturity Asian options
par: Shoshi, Humayra, et autres
Publié: (2023)

Fluctuation from averaging limit under fractional Brownian motion
par: Yang, Xiaoyu, et autres
Publié: (2026)

Stochastic Differential Equations Driven by G-Brownian Motion with Mean Reflections
par: Li, Hanwu, et autres
Publié: (2023)

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
par: Burés, Òscar
Publié: (2025)

Cutoff stability of multivariate geometric Brownian motion
par: Barrera, G., et autres
Publié: (2022)

Multilevel Dyson Brownian motions via the superposition principle
par: Budway, Benjamin, et autres
Publié: (2024)

Large and moderate deviation for rough slow-fast system with level 3 geometric rough path
par: Yang, Xiaoyu, et autres
Publié: (2025)

Stochastic portfolio theory with price impact
par: Itkin, David
Publié: (2025)

The Onsager-Machlup functional for distribution dependent SDEs driven by fractional Brownian motion
par: Zhu, Yanbin, et autres
Publié: (2025)

Pathwise Uniqueness for Multiplicative Young and Rough Differential Equations Driven by Fractional Brownian Motion
par: Matsuda, Toyomu, et autres
Publié: (2023)

On explosion time in stochastic differential equations driven by fractional Brownian motion
par: Garzon, Johanna, et autres
Publié: (2024)

Convolution-FFT for option pricing in the Heston model
par: Gao, Xiang, et autres
Publié: (2025)

On Some Extensions of the Boué-Dupuis Variational Formula
par: Budhiraja, A.
Publié: (2024)

Regularisation by Gaussian rough path lifts of fractional Brownian motions
par: Dareiotis, Konstantinos, et autres
Publié: (2024)

On Malliavin differentiability and absolute continuity of one-dimensional doubly perturbed diffusion processes
par: Belfadli, Rachid, et autres
Publié: (2025)

Mean field stochastic differential equations with a diffusion coefficient with irregular distributional dependence
par: Nykänen, Jani
Publié: (2025)

Mean-field backward stochastic Volterra integral equations: well-posedness and related particle system
par: Hao, Tao, et autres
Publié: (2025)

Multi-dimensional anticipated backward stochastic differential equations with quadratic growth
par: Hu, Ying, et autres
Publié: (2025)

Nonlinear weak error expansion of McKean-Vlasov stochastic differential equations
par: Jourdain, Benjamin, et autres
Publié: (2025)

Backward doubly stochastic differential equations with or without reflection under weak conditions
par: Gao, Shuxian, et autres
Publié: (2026)

Time-Delayed Generalized BSDEs
par: Di Persio, Luca, et autres
Publié: (2020)

Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth
par: Hao, Tao, et autres
Publié: (2022)

Density Analysis for coupled forward-backward SDEs with non-Lipschitz drifts and Applications
par: Pellat, Rhoss Likibi, et autres
Publié: (2023)