Related papers: Nonparametric Predictive Inference for Asian optio…
We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtained by using a…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…
We focus on online second price auctions, where bids are made sequentially, and the winning bidder pays the maximum of the second-highest bid and a seller specified starting price. For many such auctions, the seller does not see all the…
Advertising options have been recently studied as a special type of guaranteed contracts in online advertising, which are an alternative sales mechanism to real-time auctions. An advertising option is a contract which gives its buyer a…
Developments in finance industry and academic research has led to innovative financial products. This paper presents an alternative approach to price American options. Our approach utilizes famous \cite{heath1992bond} ("HJM") technique to…
Statistical estimation often involves tradeoffs between expensive, high-quality measurements and a variety of lower-quality proxies. We introduce Multiple-Prediction-Powered Inference (MultiPPI): a general framework for constructing…
Random-expiry options are nontraditional derivative contracts that may expire early based on a random event. We develop a methodology for pricing these options using a trinomial tree, where the middle path is interpreted as early expiry. We…
We present a model for direct semi-parametric estimation of the State Price Density (SPD) implied in quoted option prices. We treat the observed prices as expected values of possible pay-offs at maturity, weighted by the unknown probability…
The general method is proposed for constructing a family of martingale measures for a wide class of evolution of risky assets. The sufficient conditions are formulated for the evolution of risky assets under which the family of equivalent…
This article introduces a new instrumental variable approach for estimating unknown population parameters with data having nonrandom missing values. With coarse and discrete instruments, Shao and Wang (2016) proposed a semiparametric method…
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in…
Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based on the corresponding PDE…
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal non-asymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some…
A new initialization method for hidden parameters in a neural network is proposed. Derived from the integral representation of the neural network, a nonparametric probability distribution of hidden parameters is introduced. In this…
We propose the conditional predictive impact (CPI), a consistent and unbiased estimator of the association between one or several features and a given outcome, conditional on a reduced feature set. Building on the knockoff framework of…
Following the foundational work of the Black--Scholes model, extensive research has been developed to price the option by addressing its underlying assumptions and associated pricing biases. This study introduces a novel framework for…
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…
Predicting the prices of stocks at any stock market remains a quest for many investors and researchers. Those who trade at the stock market tend to use technical, fundamental or time series analysis in their predictions. These methods…
This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting factors of volatility, where slow volatility factor is…