Related papers: Option Pricing with Delayed Information
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VIX option prices and yields explicit implied volatility…
We analyze Optimal Velocity Model (OVM) with explicit delay. The properties of congestion and the delay time of car motion are investigated by analytical and numerical methods. It is shown that the small explicit delay time has almost no…
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing therein. No-arbitrage conditions, either in this abstract…
We determine sharp bounds on the price of bandit feedback for several variants of the mistake-bound model. The first part of the paper presents bounds on the $r$-input weak reinforcement model and the $r$-input delayed, ambiguous…
We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or…
We propose a model of incentives for data pricing in large mobile networks, in which an operator wishes to balance the number of connections (active users) of different classes of users in the different cells and at different time instants,…
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm \cite{Leland}. We prove several limit…
We introduce a new cost function over experiments, f-information, based on the theory of multivariate statistical divergences, that generalizes Sims's classic model of rational inattention as well as the class of posterior-separable cost…
According to conventional wisdom, ambiguity accelerates optimal timing by decreasing the value of waiting in comparison with the unambiguous benchmark case. We study this mechanism in a multidimensional setting and show that in a…
We present a delay-compensating control method that transforms exponentially stabilizing controllers for an undelayed system into a sample-based predictive controller with numerical integration. Our method handles both first-order and…
In this note, we consider a general discrete time financial market with proportional transaction costs as in Kabanov and Stricker (2001), Kabanov et al. (2002), Kabanov et al. (2003) and Schachermayer (2004). We provide a dual formulation…
There have been numerous attempts in explaining the general learning behaviours using model-based and model-free methods. While the model-based control is flexible yet computationally expensive in planning, the model-free control is quick…
We consider option pricing using replicating binomial trees, with a two fold purpose. The first is to introduce ESG valuation into option pricing. We explore this in a number of scenarios, including enhancement of yield due to trader…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
Although routing applications increasingly affect individual mobility choices, their impact on collective traffic dynamics remains largely unknown. Smart communication technologies provide accurate traffic data for choosing one route over…
The feedback data of recommender systems are often subject to what was exposed to the users; however, most learning and evaluation methods do not account for the underlying exposure mechanism. We first show in theory that applying…
We propose an innovative data-driven option pricing methodology that relies exclusively on the dataset of historical underlying asset prices. While the dataset is rooted in the objective world, option prices are commonly expressed as…
We study information elicitation in cost-function-based combinatorial prediction markets when the market maker's utility for information decreases over time. In the sudden revelation setting, it is known that some piece of information will…
We describe several features of parallel or distributed asynchronous iterative algorithms such as unbounded delays, possible out of order messages or flexible communication. We concentrate on the concept of macroiteration sequence which was…