Image de couverture de livre

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Bossu, Sebastien, Grabchak, Michael
Format:	Preprint
Publié:	2025
Sujets:	Pricing of Securities Computational Finance 91G20, 91G60, 60J65, 60F05
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
par: Dimitrov, Mara Kalicanin, et autres
Publié: (2025)

Pricing Quanto and Composite Contracts with Local-Correlation Models
par: Pallavicini, Andrea
Publié: (2025)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
par: Bourgey, Florian, et autres
Publié: (2021)

Optimal strategy and deep hedging for share repurchase programs
par: Corti, Stefano, et autres
Publié: (2026)

Rough volatility dynamics in commodity markets
par: Daluiso, Roberto, et autres
Publié: (2026)

Machine-learning regression methods for American-style path-dependent contracts
par: Gambara, Matteo, et autres
Publié: (2023)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
par: Tissot-Daguette, Valentin
Publié: (2026)

From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
par: Wizman, Aaron, et autres
Publié: (2026)

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
par: Fernholz, Ricardo T., et autres
Publié: (2023)

Pricing and calibration in the 4-factor path-dependent volatility model
par: Gazzani, Guido, et autres
Publié: (2024)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
par: Choi, Jaehyuk, et autres
Publié: (2023)

The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
par: Huang, Zhipeng, et autres
Publié: (2026)

Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps
par: Agazzotti, Gaetano, et autres
Publié: (2025)

At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
par: Hoffmeyer, Allen, et autres
Publié: (2026)

Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach
par: Ahmed, Aqib, et autres
Publié: (2026)

Efficient approximations for utility-based pricing
par: Carassus, Laurence, et autres
Publié: (2021)

Deep g-Pricing for CSI 300 Index Options with Volatility Trajectories and Market Sentiment
par: Zhang, Yilun, et autres
Publié: (2026)

Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
par: Putri, Nunik Srikandi, et autres
Publié: (2026)

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
par: Silotto, Lorenzo, et autres
Publié: (2021)

Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
par: Xu, Huansang, et autres
Publié: (2023)

Signature volatility models: pricing and hedging with Fourier
par: Jaber, Eduardo Abi, et autres
Publié: (2024)

Higher-order ATM asymptotics for the CGMY model via the characteristic function
par: Hoffmeyer, Allen, et autres
Publié: (2026)

Multifactor Quadratic Hobson and Rogers models
par: Foschi, Paolo
Publié: (2025)

Filtering in a hazard rate change-point model with financial and life-insurance applications
par: Buttarazzi, Matteo, et autres
Publié: (2025)

Jump risk premia in the presence of clustered jumps
par: Liu, Francis, et autres
Publié: (2025)

Occupied Processes: Going with the Flow
par: Tissot-Daguette, Valentin
Publié: (2023)

Perpetual American Standard and Lookback Options in Insider Models with Progressively Enlarged Filtrations
par: Gapeev, Pavel V., et autres
Publié: (2025)

Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
par: Scoleri, Stefano, et autres
Publié: (2026)

A functional variational approach to pricing path dependent insurance policies
par: Baños, David R., et autres
Publié: (2024)

Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
par: Mink, Mark, et autres
Publié: (2022)

Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
par: Ahmadi, Ayub, et autres
Publié: (2024)

Risk premium and rough volatility
par: Bonesini, Ofelia, et autres
Publié: (2024)

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
par: Baños, David R., et autres
Publié: (2023)

Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends
par: Saqur, Raeid
Publié: (2026)

Pricing of geometric Asian options in the Volterra-Heston model
par: Aichinger, Florian, et autres
Publié: (2024)

Functional quantization of rough volatility and applications to volatility derivatives
par: Bonesini, Ofelia, et autres
Publié: (2021)

Closed-form solutions for VIX derivatives in a Legendre empirical model
par: Wang, Ying-Li, et autres
Publié: (2023)

Smile asymptotics for Bachelier implied volatility
par: Baviera, Roberto, et autres
Publié: (2025)

Random neural networks for rough volatility
par: Jacquier, Antoine, et autres
Publié: (2023)

Rough Bergomi turns grey
par: Jacquier, Antoine, et autres
Publié: (2025)