Related papers: Efficient valuation method for the SABR model
Option valuation problems are often solved using standard Monte Carlo (MC) methods. These techniques can often be enhanced using several strategies especially when one discretizes the dynamics of the underlying asset, of which we assume…
This work introduces an end-to-end framework for multi-asset option pricing that combines market-consistent risk-neutral density recovery with quantum-accelerated numerical integration. We first calibrate arbitrage-free marginal…
This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte Carlo simulations of path-dependent options driven by Gaussian vectors. The precision of the method depends on the choice…
We propose extensions and improvements of the statistical analysis of distributed multipoles (SADM) algorithm put forth by Chipot et al. in [6] for the derivation of distributed atomic multipoles from the quantum-mechanical electrostatic…
We present a method to linearize, without approximation, a specific class of eigenvalue problems with eigenvector nonlinearities (NEPv), where the nonlinearities are expressed by scalar functions that are defined by a quotient of linear…
The approximation of a high-dimensional vector by a small combination of column vectors selected from a fixed matrix has been actively debated in several different disciplines. In this paper, a sampling approach based on the Monte Carlo…
Two primary scalar auxiliary variable (SAV) approaches are widely applied for simulating gradient flow systems, i.e., the nonlinear energy-based approach and the Lagrange multiplier approach. The former guarantees unconditional energy…
We develop a mixed least squares Monte Carlo-partial differential equation (LSMC-PDE) method for pricing Bermudan style options on assets whose volatility is stochastic. The algorithm is formulated for an arbitrary number of assets and…
The Libor market model is a mainstay term structure model of interest rates for derivatives pricing, especially for Bermudan swaptions, and other exotic Libor callable derivatives. For numerical implementation the pricing of derivatives…
In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to…
In mathematical finance, a process of calibrating stochastic volatility (SV) option pricing models to real market data involves a numerical calculation of integrals that depend on several model parameters. This optimization task consists of…
In order to overcome the drawbacks of assuming deterministic volatility coefficients in the standard LIBOR market models to capture volatility smiles and skews in real markets, several extensions of LIBOR models to incorporate stochastic…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
Model merging combines multiple fine-tuned models into a single model by adding their weight updates, providing a lightweight alternative to retraining. Existing methods primarily target resolving conflicts between task updates, leaving the…
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average…
A Monte Carlo algorithm is said to be adaptive if it automatically calibrates its current proposal distribution using past simulations. The choice of the parametric family that defines the set of proposal distributions is critical for good…
The equilibrium configuration of a plasma in an axially symmetric reactor is described mathematically by a free boundary problem associated with the celebrated Grad--Shafranov equation. The presence of uncertainty in the model parameters…
In this paper, we propose a new design method of discrete-valued control for continuous-time linear time-invariant systems based on sum-of-absolute-values (SOAV) optimization. We first formulate the discrete-valued control design as a…
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatility setting. Four examples are provided in…
In this paper, we discuss a simple yet robust PDE method for evaluating path-dependent Asian-style options using the non-oscillatory forward-in-time second-order MPDATA finite-difference scheme. The valuation methodology involves casting…