Related papers: A method for pricing American options using semi-i…
We investigate methods for pricing American options under the variance gamma model. The variance gamma process is a pure jump process which is constructed by replacing the calendar time by the gamma time in a Brownian motion with drift,…
We study an algorithm which has been proposed by Chinesta et al. to solve high-dimensional partial differential equations. The idea is to represent the solution as a sum of tensor products and to compute iteratively the terms of this sum.…
In this paper, we study a general online linear programming problem whose formulation encompasses many practical dynamic resource allocation problems, including internet advertising display applications, revenue management, various routing,…
In this paper, we solve a maximization problem where the objective function is quadratic and the constraints set is the reachable values set of a stable discrete-time affine system. This problem is equivalent to solve an infinite number of…
In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium…
This paper considers the efficient minimization of the infinite time average of a stationary ergodic process in the space of a handful of design parameters which affect it. Problems of this class, derived from physical or numerical…
In this paper, we study a game with positive or plus infinite expectation and determine the optimal proportion of investment for maximizing the limit expectation of growth rate per attempt. With this objective, we introduce a new pricing…
Many combinatorial optimisation problems can be modelled as valued constraint satisfaction problems. In this paper, we present a polynomial-time algorithm solving the valued constraint satisfaction problem for a fixed number of variables…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
In this paper, we extend the 3/2-model for VIX studied by Goard and Mazur (2013) and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options and,…
Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function with the series coefficients, allows to recover the density…
This paper considers the problem of minimizing the ordered weighted average (or ordered median) function of finitely many rational functions over compact semi-algebraic sets. Ordered weighted averages of rational functions are not, in…
In this paper, we present an implicit finite difference method for the numerical solution of the Black-Scholes model of American put options without dividend payments. We combine the proposed numerical method by using a front fixing…
We present an algorithm for approximating semidefinite programs with running time that is sublinear in the number of entries in the semidefinite instance. We also present lower bounds that show our algorithm to have a nearly optimal running…
This paper studies an online selection problem, where a seller seeks to sequentially sell multiple copies of an item to arriving buyers. We consider an adversarial setting, making no modeling assumptions about buyers' valuations for the…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
We propose a deep Recurrent neural network (RNN) framework for computing prices and deltas of American options in high dimensions. Our proposed framework uses two deep RNNs, where one network learns the price and the other learns the delta…
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we investigate by ample numerical experiments…
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mean-reverting process. Transaction fees are exogenous…
This survey is focused on certain sequential decision-making problems that involve optimizing over probability functions. We discuss the relevance of these problems for learning and control. The survey is organized around a framework that…