Cover Image

Pricing under the Benchmark Approach

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Platen, Eckhard
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance General Finance 62P05, 60G35, 62P20 G.3
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Information-minimizing stationary financial market dynamics
by: Platen, Eckhard
Published: (2025)

Free Lunches with Vanishing Risks Most Likely Exist
by: Platen, Eckhard, et al.
Published: (2025)

Information-Theoretic Approach to Financial Market Modelling
by: Platen, Eckhard
Published: (2026)

Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
by: Atsiwo, Abraham, et al.
Published: (2024)

Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
by: Søjmark, Andreas, et al.
Published: (2023)

On variable annuities with surrender charges
by: De Angelis, Tiziano, et al.
Published: (2024)

Curved Greeks: A Geometric Layer for Option P&L Adjustments
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)

A note on closed-form spread option valuation under log-normal models
by: Abudurexiti, Nuerxiati, et al.
Published: (2021)

On an Optimal Stopping Problem with a Discontinuous Reward
by: Mackay, Anne, et al.
Published: (2023)

Asymptotic Expansions for High-Frequency Option Data
by: Chong, Carsten H., et al.
Published: (2023)

Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)

Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion
by: Bibinger, Markus, et al.
Published: (2025)

Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)

Insights into Tail-Based and Order Statistics
by: Almani, Hamidreza Maleki
Published: (2025)

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)

Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes
by: Chudasama, Priyanka, et al.
Published: (2025)

Statistical inference for rough volatility: Central limit theorems
by: Chong, Carsten, et al.
Published: (2022)

A new measure of risk using Fourier analysis
by: Grabinski, Michael, et al.
Published: (2024)

What's the Price of Monotonicity? A Multi-Dataset Benchmark of Monotone-Constrained Gradient Boosting for Credit PD
by: Koklev, Petr
Published: (2025)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)

Bridging Human Cognition and AI: A Framework for Explainable Decision-Making Systems
by: Jean, N., et al.
Published: (2025)

A New Stock Market Valuation Measure with Applications to Retirement Planning
by: Sarantsev, Andrey
Published: (2019)

A theory of passive market impact
by: Chahdi, Youssef Ouazzani, et al.
Published: (2024)

International Financial Markets Through 150 Years: Evaluating Stylized Facts
by: Safari, Sara A., et al.
Published: (2025)

Log Heston Model for Monthly Average VIX
by: Park, Jihyun, et al.
Published: (2024)

A unified theory of order flow, market impact, and volatility
by: Muhle-Karbe, Johannes, et al.
Published: (2026)

L-Estimation Approach to Tobit Models with Endogeneity and Weakly Dependent Errors
by: Shukla, Swati, et al.
Published: (2024)

Bitcoin Price Prediction: Peer-Reviewed Evidence and Social Media Discourse
by: Baquero, Carlos
Published: (2026)

Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
by: Leung, Tim, et al.
Published: (2023)

Optimal Control of a Battery Storage On the Energy Market
by: Schlüter, Stephan, et al.
Published: (2024)

Spurious Predictability in Financial Machine Learning
by: Nikolopoulos, Sotirios D.
Published: (2026)

Asymptotics of randomly weighted sums without moment conditions of random weights
by: Gao, Qingwu, et al.
Published: (2026)

Pricing and hedging for liquidity provision in Constant Function Market Making
by: Risk, Jimmy, et al.
Published: (2026)

A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration
by: Diaz-Lozano, Pere, et al.
Published: (2026)

Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks
by: Lai, Shanyan
Published: (2025)

Testing Independence of Infinite Dimensional Random Elements: A Sup-norm Approach
by: Bhar, Suprio, et al.
Published: (2023)

A pure dual approach for hedging Bermudan options
by: Alfonsi, Aurélien, et al.
Published: (2024)

Signature Methods in Stochastic Portfolio Theory
by: Cuchiero, Christa, et al.
Published: (2023)

Wishart kernel density estimation for strongly mixing time series on the cone of positive definite matrices
by: Belzile, Léo R., et al.
Published: (2025)

Rank tests for time-varying covariance matrices observed under noise
by: Reiß, Markus, et al.
Published: (2026)