Related papers: Precise option pricing by the COS method--How to c…
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also provide precise boundaries for the…
Considering the use of dynamical systems in practical applications, often only limited regions in the time or frequency domain are of interest. Therefor, it usually pays off to compute local approximations of the used dynamical systems in…
The computational cost of a Monte Carlo algorithm can only be meaningfully discussed when taking into account the magnitude of the resulting statistical error. Aiming for a fixed error per particle, we study the scaling behavior of the…
Consider a discrete finite-dimensional, Markovian market model. In this setting, discretely sampled American options can be priced using the so-called ``non-recombining'' tree algorithm. By successively increasing the number of exercise…
This paper covers a massive acceleration of Monte-Carlo based pricing method for financial products and financial derivatives. The method is applicable in risk management settings, where a financial product has to be priced under a number…
We propose a statistical model for narrowing line shapes in spectroscopy that are well approximated as linear combinations of Lorentzian or Voigt functions. We introduce a log-Gaussian Cox process to represent the peak locations thereby…
A methodology is proposed for the calculation of the truncation error of finite volume discretisations of the incompressible Navier-Stokes equations on colocated grids. The truncation error is estimated by restricting the solution obtained…
Pricing exotic multi-asset path-dependent options requires extensive Monte Carlo simulations. In the recent years the interest to the Quasi-monte Carlo technique has been renewed and several results have been proposed in order to improve…
Discrete choice models are commonly used by applied statisticians in numerous fields, such as marketing, economics, finance, and operations research. When agents in discrete choice models are assumed to have differing preferences, exact…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
In this paper we provide a quantum Monte Carlo algorithm to solve multidimensional Black-Scholes PDEs with correlation for option pricing. The payoff function of the option is of general form and is only required to be continuous and…
In this article, we combine a lattice sequence from Quasi-Monte Carlo rules with the philosophy of the Fourier-cosine method to design an approximation scheme for expectation computation. We study the error of this scheme and compare this…
Fractional Brownian motion has become a standard tool to address long-range dependence in financial time series. However, a constant memory parameter is too restrictive to address different market conditions. Here we model the price…
In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The advantage of the proposed method is that it requires only the numerical evaluation of a one-dimensional…
We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction…
We price American options using kernel-based approximations of the Volterra Heston model. We choose these approximations because they allow simulation-based techniques for pricing. We prove the convergence of American option prices in the…
Options have provided a field of much study because of the complexity involved in pricing them. The Black-Scholes equations were developed to price options but they are only valid for European styled options. There is added complexity when…
This work proposes a novel technique for the numerical calculus of the fractal dimension of fractal objects which can be represented as a closed contour. The proposed method maps the fractal contour onto a complex signal and calculates its…
Large particle systems are often described by high-dimensional (linear) kinetic equations that are simulated using Monte Carlo methods for which the asymptotic convergence rate is independent of the dimensionality. Even though the…
We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation.…