Enregistré dans:
| Auteur principal: | Higgins, Mark |
|---|---|
| Format: | Preprint |
| Publié: |
2026
|
| Sujets: | |
| Accès en ligne: | https://arxiv.org/abs/2602.01376 |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
Documents similaires
Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate
par: Goudenège, Ludovic, et autres
Publié: (2025)
par: Goudenège, Ludovic, et autres
Publié: (2025)
Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
par: Ter-Avanesov, Boris, et autres
Publié: (2024)
par: Ter-Avanesov, Boris, et autres
Publié: (2024)
Option Pricing with Time-Varying Volatility Risk Aversion
par: Hansen, Peter Reinhard, et autres
Publié: (2022)
par: Hansen, Peter Reinhard, et autres
Publié: (2022)
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
par: Mensah, Abigail Anokyewaa, et autres
Publié: (2026)
par: Mensah, Abigail Anokyewaa, et autres
Publié: (2026)
Stochastic PDEs and Quantitative Finance: The Black-Scholes-Merton Model of Options Pricing and Riskless Trading
par: Kaplowitz, Brandon, et autres
Publié: (2012)
par: Kaplowitz, Brandon, et autres
Publié: (2012)
The Carbon Premium: Correlation or Causation? Evidence from S&P 500 Companies
par: Sankar, Namasi G., et autres
Publié: (2024)
par: Sankar, Namasi G., et autres
Publié: (2024)
Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
par: Cheng, Liexin, et autres
Publié: (2024)
par: Cheng, Liexin, et autres
Publié: (2024)
No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives
par: Calvelli, Alessio
Publié: (2022)
par: Calvelli, Alessio
Publié: (2022)
The Co-Pricing Factor Zoo
par: Dickerson, Alexander, et autres
Publié: (2026)
par: Dickerson, Alexander, et autres
Publié: (2026)
Priced risk in corporate bonds
par: Dickerson, Alexander, et autres
Publié: (2026)
par: Dickerson, Alexander, et autres
Publié: (2026)
Data-driven Option Pricing
par: Dai, Min, et autres
Publié: (2024)
par: Dai, Min, et autres
Publié: (2024)
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
par: Abbas-Turki, Lokman A, et autres
Publié: (2026)
par: Abbas-Turki, Lokman A, et autres
Publié: (2026)
Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
par: Liu, Yuhao, et autres
Publié: (2025)
par: Liu, Yuhao, et autres
Publié: (2025)
Fast Derivative Valuation from Volatility Surfaces using Machine Learning
par: Ding, Lijie, et autres
Publié: (2025)
par: Ding, Lijie, et autres
Publié: (2025)
An Asymmetric Capital Asset Pricing Model
par: Hatemi-J, Abdulnasser
Publié: (2024)
par: Hatemi-J, Abdulnasser
Publié: (2024)
Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility
par: Pirjol, Dan, et autres
Publié: (2023)
par: Pirjol, Dan, et autres
Publié: (2023)
Asset Pricing in the Presence of Market Microstructure Noise
par: Yegon, Peter, et autres
Publié: (2025)
par: Yegon, Peter, et autres
Publié: (2025)
Fair Pricing in Long-Term Insurance: A Unified Framework
par: Lim, Hong Beng, et autres
Publié: (2026)
par: Lim, Hong Beng, et autres
Publié: (2026)
Asset Pricing Model in Markets of Imperfect Information and Subjective Views
par: Lalioui, Hafid, et autres
Publié: (2025)
par: Lalioui, Hafid, et autres
Publié: (2025)
A3T-GCN for FTSE100 Components Price Forecasting
par: Paredes, A. L.
Publié: (2025)
par: Paredes, A. L.
Publié: (2025)
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation
par: Kyakutwika, Nelson, et autres
Publié: (2025)
par: Kyakutwika, Nelson, et autres
Publié: (2025)
An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
par: Wu, Keyuan, et autres
Publié: (2025)
par: Wu, Keyuan, et autres
Publié: (2025)
Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks
par: Molla, Hasib Uddin, et autres
Publié: (2025)
par: Molla, Hasib Uddin, et autres
Publié: (2025)
Pricing Fractal Derivatives under Sub-Mixed Fractional Brownian Motion with Jumps
par: Karimi, Nader
Publié: (2025)
par: Karimi, Nader
Publié: (2025)
Pricing and hedging the prepayment option of mortgages under stochastic housing market activity
par: Perotti, Leonardo, et autres
Publié: (2025)
par: Perotti, Leonardo, et autres
Publié: (2025)
Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
par: Guillaume, Tristan
Publié: (2026)
par: Guillaume, Tristan
Publié: (2026)
Comparative Study of Monte Carlo and Quasi-Monte Carlo Techniques for Enhanced Derivative Pricing
par: Case, Giacomo
Publié: (2025)
par: Case, Giacomo
Publié: (2025)
HJM Local Volatility Model
par: Belyaev, V. M.
Publié: (2023)
par: Belyaev, V. M.
Publié: (2023)
Volatility Shocks and Currency Returns
par: Babiak, Mykola, et autres
Publié: (2021)
par: Babiak, Mykola, et autres
Publié: (2021)
Stochastic Expansion for the Pricing of Asian and Basket Options
par: Floc'h, Fabien Le
Publié: (2024)
par: Floc'h, Fabien Le
Publié: (2024)
On the Estimation of Own Funds for Life Insurers: A Study of Direct, Indirect, and Control Variate Methods in a Risk-Neutral Pricing Framework
par: Wolf, Mark-Oliver
Publié: (2025)
par: Wolf, Mark-Oliver
Publié: (2025)
Faster Monotone Implied Volatility Solver
par: Floc'h, Fabien Le
Publié: (2026)
par: Floc'h, Fabien Le
Publié: (2026)
CryptoPulse: Short-Term Cryptocurrency Forecasting with Dual-Prediction and Cross-Correlated Market Indicators
par: Kumar, Amit, et autres
Publié: (2025)
par: Kumar, Amit, et autres
Publié: (2025)
Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
par: Goudenège, Ludovic, et autres
Publié: (2024)
par: Goudenège, Ludovic, et autres
Publié: (2024)
Perpetual Futures Pricing
par: Ackerer, Damien, et autres
Publié: (2023)
par: Ackerer, Damien, et autres
Publié: (2023)
Explicit Rational Formulae for Bachelier (Normal) Implied Volatility
par: Floc'h, Fabien Le
Publié: (2026)
par: Floc'h, Fabien Le
Publié: (2026)
Small Volatility Approximation and Multi-Factor HJM Models
par: Belyaev, V. M.
Publié: (2025)
par: Belyaev, V. M.
Publié: (2025)
Multi-asset and generalised Local Volatility. An efficient implementation
par: Deloire, Olivier, et autres
Publié: (2024)
par: Deloire, Olivier, et autres
Publié: (2024)
Expressions of Market-Based Correlations Between Prices and Returns of Two Assets
par: Olkhov, Victor
Publié: (2024)
par: Olkhov, Victor
Publié: (2024)
Valuation of GLWB-LTC Annuities with Lévy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions
par: Molent, Andrea
Publié: (2026)
par: Molent, Andrea
Publié: (2026)
Documents similaires
-
Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate
par: Goudenège, Ludovic, et autres
Publié: (2025) -
Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
par: Ter-Avanesov, Boris, et autres
Publié: (2024) -
Option Pricing with Time-Varying Volatility Risk Aversion
par: Hansen, Peter Reinhard, et autres
Publié: (2022) -
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
par: Mensah, Abigail Anokyewaa, et autres
Publié: (2026) -
Stochastic PDEs and Quantitative Finance: The Black-Scholes-Merton Model of Options Pricing and Riskless Trading
par: Kaplowitz, Brandon, et autres
Publié: (2012)