Related papers: Revisiting semidefinite programming approaches to …
The increasing need for rapid recalibration of option pricing models in dynamic markets places stringent computational demands on data generation and valuation algorithms. In this work, we propose a hybrid algorithmic framework that…
We propose a projection method to estimate risk-neutral moments from option prices. We derive a finite-sample bound implying that the projection estimator attains (up to a constant) the smallest pricing error within the span of traded…
In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast to the standard multi-asset Black-Scholes framework, trading…
In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or…
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…
We study the dynamic pricing problem with knapsack, addressing the challenge of balancing exploration and exploitation under resource constraints. We introduce three algorithms tailored to different informational settings: a Boundary…
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…
In this paper, "chance optimization" problems are introduced, where one aims at maximizing the probability of a set defined by polynomial inequalities. These problems are, in general, nonconvex and computationally hard. With the objective…
In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-arbitrage requirement implies that the differential (foreign…
This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium…
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…
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…
We consider stochastic volatility models under parameter uncertainty and investigate how model derived prices of European options are affected. We let the pricing parameters evolve dynamically in time within a specified region, and…
Global polynomial optimization is an important tool across applied mathematics, with many applications in operations research, engineering, and physical sciences. In various settings, the polynomials depend on external parameters that may…
In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment matching…
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…
This paper considers options pricing when the assumption of normality is replaced with that of the symmetry of the underlying distribution. Such a market affords many equivalent martingale measures (EMM). However we argue (as in the…
The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation)…
We consider the problem of approximating numerically the moments and the supports of measures which are invariant with respect to the dynamics of continuous- and discrete-time polynomial systems, under semialgebraic set constraints. First,…
We develop a line-search second-order algorithmic framework for minimizing finite sums. We do not make any convexity assumptions, but require the terms of the sum to be continuously differentiable and have Lipschitz-continuous gradients.…