Related papers: General Price Bounds for Guaranteed Annuity Option…

This research investigates pricing financial options based on the traditional martingale theory of arbitrage pricing applied to neural SDEs. We treat neural SDEs as universal It\^o process approximators. In this way we can lift all…

In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…

In this paper, we price European Call three different option pricing models, where the volatility is dynamically changing i.e. non constant. In stochastic volatility (SV) models for option pricing a closed form approximation technique is…

This paper considers the distribution of a general peak age of information (AoI) model and develops a general analysis approach for probabilistic performance guarantee from the time-domain perspective. Firstly, a general relationship…

This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is approximated by a discrete time Markov chain with the same…

We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of…

We develop a Gaussian process ("GP") framework for modeling mortality rates and mortality improvement factors. GP regression is a nonparametric, data-driven approach for determining the spatial dependence in mortality rates and jointly…

This paper studies the truncation method from Alquier [1] to derive high-probability PAC-Bayes bounds for unbounded losses with heavy tails. Assuming that the $p$-th moment is bounded, the resulting bounds interpolate between a slow rate $1…

We present a formal language for specifying qualitative preferences over temporal goals and a preference-based planning method in stochastic systems. Using automata-theoretic modeling, the proposed specification allows us to express…

Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee…

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…

We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…

This paper presents a new prediction model for time series data by integrating a time-varying Geometric Brownian Motion model with a pricing mechanism used in financial engineering. Typical time series models such as Auto-Regressive…

Predicting the evolution of mortality rates plays a central role for life insurance and pension funds.Various stochastic frameworks have been developed to model mortality patterns taking into account the main stylized facts driving these…

This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium…

We introduce a modular framework that extends the signature method to handle American option pricing under evolving volatility roughness. Building on the signature-pricing framework of Bayer et al. (2025), we add three practical…

In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process with a mean-reverting drift. Our approach is similar to…

We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…

In this paper, we derive the price of a European call option of an asset following a normal process assuming stochastic volatility. The volatility is assumed to follow the Cox Ingersoll Ross (CIR) process. We then use the fast Fourier…

Options have provided a field of much study because of the complexity involved in pricing them. The Black-Scholes equations were developed to price options but they are only valid for European styled options. There is added complexity when…