Related papers: An SFP--FCC Method for Pricing and Hedging Early-e…
This work studies the deep learning-based numerical algorithms for optimal hedging problems in markets with general convex transaction costs on the trading rates, focusing on their scalability of trading time horizon. Based on the…
A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a LETF, finding…
In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by…
This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial…
Bandeira et al. (2022) introduced the Franz-Parisi (FP) criterion for characterizing the computational hard phases in statistical detection problems. The FP criterion, based on an annealed version of the celebrated Franz-Parisi potential…
In this paper, we describe a general method for constructing the posterior distribution of an option price. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by the underlying, as…
High-order numerical methods for solving elliptic equations over arbitrary domains typically require specialized machinery, such as high-quality conforming grids for finite elements method, and quadrature rules for boundary integral…
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formula for pricing European foreign currency option is proposed…
We first review the convolution fast-Fourier-transform (CFFT) approach for the numerical solution of backward stochastic differential equations (BSDEs) introduced in (Hyndman and Oyono Ngou, 2017). We then propose a method for improving the…
We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general L\'{e}vy process with a view to application in insurance and financial mathematics.…
This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a "purely dual" algorithm following the spirit of Rogers (2010) in the sense that it only relies on the dual…
We propose an efficient and easy-to-implement gradient-enhanced least squares Monte Carlo method for computing price and Greeks (i.e., derivatives of the price function) of high-dimensional American options. It employs the sparse Hermite…
In this article, we address the challenge of identifying skilled mutual funds among a large pool of candidates, utilizing the linear factor pricing model. Assuming observable factors with a weak correlation structure for the idiosyncratic…
In this research, we proposed a Mean Convection Finite Difference Method (MCFDM) for European options pricing. The Black-Scholes model, which describes the dynamics of a financial asset, was first transformed into a convection-diffusion…
We propose a stable sixth-order compact finite difference scheme with a dynamic fifth-order staggered boundary scheme and 3(2) R-K Bogacki and Shampine adaptive time stepping for pricing American style options. To locate, fix and compute…
The rough Bergomi (rBergomi) model, introduced recently in [5], is a promising rough volatility model in quantitative finance. It is a parsimonious model depending on only three parameters, and yet remarkably fits with empirical implied…
We propose a Lawson-time-splitting extended Fourier pseudospectral (LTSeFP) method for the numerical integration of the Gross-Pitaevskii equation with time-dependent potential that is of low regularity in space. For the spatial…
In American options, the early exercise feature allows the option to be exercised at any time prior to expiration. However, this flexibility introduces a challenge: the pricing model must value the option while simultaneously determining an…
When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order schemes. In this article, we present a fast and explicit…
We propose a Bayesian model selection approach that allows medical practitioners to select among predictor variables while taking their respective costs into account. Medical procedures almost always incur costs in time and/or money. These…