Related papers: American Options with Discontinuous Two-Level Caps
In this paper we propose an efficient method to compute the price of multi-asset American options, based on Machine Learning, Monte Carlo simulations and variance reduction technique. Specifically, the options we consider are written on a…
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) action space at each time step. By introducing an enlarged…
This paper concerns the numerical valuation of swing options with discrete action times under a linear two-factor mean-reverting model with jumps. The resulting sequence of two-dimensional partial integro-differential equations (PIDEs) are…
To date, the tightest upper and lower-bounds for the active learning of general concept classes have been in terms of a parameter of the learning problem called the splitting index. We provide, for the first time, an efficient algorithm…
The problem of European-style option pricing in time-changed L\'{e}vy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the…
We compute the probability of satisfiability of a class of random Horn-SAT formulae, motivated by a connection with the nonemptiness problem of finite tree automata. In particular, when the maximum clause length is 3, this model displays a…
In this article we consider two-way two-tape (alternating) automata accepting pairs of words and we study some closure properties of this model. Our main result is that such alternating automata are not closed under complementation for…
The most recent update of financial option models is American options under stochastic volatility models with jumps in returns (SVJ) and stochastic volatility models with jumps in returns and volatility (SVCJ). To evaluate these options,…
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…
In this paper the problem of selecting $p$ out of $n$ available items is discussed, such that their total cost is minimized. We assume that costs are not known exactly, but stem from a set of possible outcomes. Robust recoverable and…
The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and…
We show that the problem of deciding whether the vertex set of a graph can be covered with at most two bicliques is in NP$\cap$coNP. We thus almost determine the computational complexity of a problem whose status has remained open for quite…
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain transformation of the free boundary problem into a parabolic…
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
By considering a two ended warped product manifold, we demonstrate a bifurcation that can occur when metric trapping interacts with a boundary. In this highly symmetric example, as the boundary passes through the trapped set, one goes from…
Recent work has shown that temporally extended actions (options) can be learned fully end-to-end as opposed to being specified in advance. While the problem of "how" to learn options is increasingly well understood, the question of "what"…
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite…
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for…
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European…