Related papers: Pricing Asian Options with Correlators
We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating…
Compressive sensing has become a powerful addition to uncertainty quantification in recent years. This paper identifies new bases for random variables through linear mappings such that the representation of the quantity of interest is more…
The short maturity limit $T\to 0$ for the implied volatility of an Asian option in the Black-Scholes model is determined by the large deviations property for the time-average of the geometric Brownian motion. In this note we derive the…
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…
Explicit representations of densities for linear parabolic partial differential equations are useful in order to design computation schemes of high accuracy for a considerable class of diffusion models. Approximations of lower order based…
In the context of dealing with financial risk management problems it is desirable to have accurate bounds for option prices in situations when pricing formulae do not exist in the closed form. A unified approach for obtaining upper and…
Given the first 20-100 coefficients of a typical generating function of the type that arises in many problems of statistical mechanics or enumerative combinatorics, we show that the method of differential approximants performs surprisingly…
In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the…
Let $f_k$ be the $k$-th Fourier coefficient of a function $f$ in terms of the orthonormal Hermite, Laguerre or Jacobi polynomials. We give necessary and sufficient conditions on $f$ for the inequality $\sum_{k}|f_k|^2\theta^k<\infty$ to…
We consider an exclusion process on a ring in which a particle hops to an empty neighbouring site with a rate that depends on the number of vacancies $n$ in front of it. In the steady state, using the well known mapping of this model to the…
We study a system of $n$ differential equations, each in dimension $d$. Only the first equation is forced by a Brownian motion and the dependence structure is such that, under a local weak H\"ormander condition, the noise propagates to the…
Given a basis for a polynomial ring, the coefficients in the expansion of a product of some of its elements in terms of this basis are called linearization coefficients. These coefficients have combinatorial significance for many classical…
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative L\'evy process \xi with unbounded variation.…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as \begin{equation*}…
We give a convergence proof for the approximation by sparse collocation of Hilbert-space-valued functions depending on countably many Gaussian random variables. Such functions appear as solutions of elliptic PDEs with lognormal diffusion…
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…
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…
We represent the Euler alternating series (sometimes called the "Dirichlet eta function"), and generally $(b^s-b)\zeta(s)/b^s$ for $b>1$ an integer, in the half-plane $\Re s>0$, via series dominated by geometric series, with arbitrarily…
In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite…