Related papers: Revisiting semidefinite programming approaches to …
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures…
In the following paper we provide a review and development of sequential Monte Carlo (SMC) methods for option pricing. SMC are a class of Monte Carlo-based algorithms, that are designed to approximate expectations w.r.t a sequence of…
In this paper, we address the effective degree bound problem for Lasserre's hierarchy of moment-sum-of-squares (SOS) relaxations in polynomial optimization involving $n$ variables. We assume that the first $n$ equality constraint…
We present a general approach to rounding semidefinite programming relaxations obtained by the Sum-of-Squares method (Lasserre hierarchy). Our approach is based on using the connection between these relaxations and the Sum-of-Squares proof…
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential…
When calibrating spatial partial equilibrium models with conjectural variations, some modelers fit the suppliers' sales to the available data in addition to total consumption and price levels. While this certainly enhances the quality of…
Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket options and include information on the prices of other similar…
We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super--replication prices of game options with upper semicontinuous payoffs. We show that the super--replication price is equal to…
Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) models, such as the…
We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments…
In this article, we study the rate of convergence of prices when a model is approximated by some simplified model. We also provide a method how explicit error formula for more general options can be obtained if such formula is available for…
Given a set-valued stochastic process $(V_t)_{t=0}^T$, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors $\xi_t\in V_t$, admitting an equivalent martingale measure. The aim of this…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
As foundation models grow in size, fine-tuning them becomes increasingly expensive. While GPU spot instances offer a low-cost alternative to on-demand resources, their volatile prices and availability make deadline-aware scheduling…
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the…
We address the problem of symmetry reduction of optimal control problems under the action of a finite group from a measure relaxation viewpoint. We propose a method based on the moment-SOS aka Lasserre hierarchy which allows one to…
In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent variational…
We propose a time value related decision function to treat a classical option pricing problem raised by Hutchinson-Lo-Poggio. In numerical experiments, the new decision function significantly improves the original model of…
This paper presents algorithms that upper-bound the peak value of a state function along trajectories of a continuous-time system with rational dynamics. The finite-dimensional but nonconvex peak estimation problem is cast as a convex…
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a…