:: Library Catalog

Image de couverture de livre

Enregistré dans:

Détails bibliographiques
Auteur principal:	LeFloc'h, Fabien
Format:	Preprint
Publié:	2025
Sujets:	Computational Finance Pricing of Securities
Accès en ligne:	https://arxiv.org/abs/2507.13186
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

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

Faster Monotone Implied Volatility Solver
par: Floc'h, Fabien Le
Publié: (2026)

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

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

How to choose my stochastic volatility parameters? A review
par: Floc'h, Fabien Le
Publié: (2025)

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

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

Fast and General Simulation of Lévy-driven Ornstein Uhlenbeck processes for Energy Derivatives
par: Baviera, Roberto, et autres
Publié: (2024)

To Bubble or Not to Bubble: Asset Price Dynamics and Optimality in OLG Economies
par: Bosi, Stefano, et autres
Publié: (2025)

Stochastic Policy Gradient Methods in the Uncertain Volatility Model
par: Abbas-Turki, Lokman A, et autres
Publié: (2026)

Fast and Stable Credit Gamma of CVA
par: Daluiso, Roberto
Publié: (2023)

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

Defaultable bond liquidity spread estimation: an option-based approach
par: Rossi, Pietro, et autres
Publié: (2025)

An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
par: Wu, Keyuan, et autres
Publié: (2025)

Empirical Models of the Time Evolution of SPX Option Prices
par: Brini, Alessio, et autres
Publié: (2025)

Social Media Emotions and Market Behavior
par: Vamossy, Domonkos F.
Publié: (2024)

Multi-asset and generalised Local Volatility. An efficient implementation
par: Deloire, Olivier, et autres
Publié: (2024)

Deep calibration with random grids
par: Baschetti, Fabio, et autres
Publié: (2023)

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

Deep Hedging Bermudan Swaptions
par: Oya, Kenjiro
Publié: (2024)

Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
par: Halperin, Igor, et autres
Publié: (2025)

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

Floating exercise boundaries for American options in time-inhomogeneous models
par: Itkin, Andrey, et autres
Publié: (2025)

Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
par: Jaber, Eduardo Abi, et autres
Publié: (2024)

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

Volatility models in practice: Rough, Path-dependent or Markovian?
par: Jaber, Eduardo Abi, et autres
Publié: (2024)

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

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

Pricing Barrier Options with DeepBSDEs
par: Ganesan, Narayan, et autres
Publié: (2020)

Semi-analytical pricing of options written on SOFR futures
par: Itkin, Andrey, et autres
Publié: (2024)

Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
par: Ter-Avanesov, Boris, et autres
Publié: (2024)

A Unifying Approach for the Pricing of Debt Securities
par: Vachon, Marie-Claude, et autres
Publié: (2024)

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

Handling model risk with XVAs
par: Bénézet, Cyril, et autres
Publié: (2022)

American option pricing using generalised stochastic hybrid systems
par: Buckwar, Evelyn, et autres
Publié: (2024)

Pricing of barrier options by marginal functional quantization
par: Sagna, Abass
Publié: (2010)

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

An Explicit Solution to Black-Scholes Implied Volatility
par: Schadner, Wolfgang
Publié: (2026)

Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging
par: Bracha, Zofia, et autres
Publié: (2025)

Counterexamples for FX Options Interpolations -- Part I
par: Healy, Jherek
Publié: (2025)