Related papers: Non Parametric Estimates of Option Prices Using Su…
The studied model was suggested to design a perfect hedging strategy for a large trader. In this case the implementation of a hedging strategy affects the price of the underlying security. The feedback-effect leads to a nonlinear version of…
A novel data-driven method for formal verification is proposed to study complex systems operating in safety-critical domains. The proposed approach is able to formally verify discrete-time stochastic dynamical systems against temporal logic…
We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of…
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems, we only observe option prices and their corresponding strike prices rather than samples from the state…
This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models, where we allow for infinite-dimensional fixed effects that enter into consumer utilities in an additively nonseparable…
This paper performs the numerical analysis and the computation of a Spread option in a market with imperfect liquidity. The number of shares traded in the stock market has a direct impact on the stock's price. Thus, we consider a…
We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile and skew effects observed in empirical market data. Using a…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
We design a novel calibration procedure that is designed to handle the specific characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the possibility of missing or incoherent prices in the considered data…
We propose two parametric approaches to evaluate swing contracts with firm constraints. Our objective is to define approximations for the optimal control, which represents the amounts of energy purchased throughout the contract. The first…
In this paper, we propose a new semiparametric regression estimator by using a hybrid technique of a parametric approach and a nonparametric penalized spline method. The overall shape of the true regression function is captured by the…
A version of indifference valuation of a European call option is proposed that includes statistical regularities of nonstochastic randomness. Classical relations (forward contract value and Black-Scholes formula) are obtained as particular…
The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for wide enough…
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.
In this paper, different strands of literature are combined in order to obtain algorithms for semi-parametric estimation of discrete choice models that include the modelling of unobserved heterogeneity by using mixing distributions for the…
We present a simple, numerically efficient but highly flexible non-parametric method to construct representations of option price surfaces which are both smooth and strictly arbitrage-free across time and strike. The method can be viewed as…
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…
In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different…
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and the optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called…
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work stems from the degeneracy of the second…