Related papers: On asymptotically arbitrage-free approximations of…
For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials…
This paper considers both the least squares and quasi-maximum likelihood estimation for the recently proposed scalable ARMA model, a parametric infinite-order vector AR model, and their asymptotic normality is also established. It makes…
This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…
The quasi-likelihood estimator and the Bayesian type estimator of the volatility parameter are in general asymptotically mixed normal. In case the limit is normal, the asymptotic expansion was derived in Yoshida (1997) as an application of…
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion $B^H_t$ where the rate function is defined via the reproducing kernel Hilbert space, we compute small-time asymptotics for a correlated fractional…
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power…
Sharp upper and lower estimates are obtained of the approximation numbers of a Sobolev embedding and an integral operator of Volterra type. These lead to asymptotic formulae for the approximation numbers and certain other s-numbers.
The goal of this paper is to prove a result conjectured in F\"ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular…
Given a random sample from a continuous multivariate distribution, Stute's representation is obtained for empirical copula processes constructed from a broad class of smooth, possibly data-adaptive nonparametric copula estimators. The…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…
In this paper, a new numerical method based on adaptive gradient descent optimizers is provided for computing the implied volatility from the Black-Scholes (B-S) option pricing model. It is shown that the new method is more accurate than…
Dynamic factor models are often estimated by point-estimation methods, disregarding parameter uncertainty. We propose a method accounting for parameter uncertainty by means of posterior approximation, using variational inference. Our…
In the Black-Scholes model, the absence of arbitrages imposes necessary constraints on the slope of the implied variance in terms of log-moneyness, asymptotically for large log-moneyness. The constraints are used for example in the SVI…
Bayesian synthetic likelihood (BSL) is now a well established method for performing approximate Bayesian parameter estimation for simulation-based models that do not possess a tractable likelihood function. BSL approximates an intractable…
Existing deep learning-based calibration scheme for rough volatility models predominantly rely on supervised learning frameworks, which incur significant computational costs due to the necessity of generating massive synthetic training…
This article is concerned with the \emph{asymptotically autonomous robustness} (almost surely and in probability) of non-autonomous random attractors for two stochastic versions of 3D convective Brinkman-Forchheimer (CBF) equations defined…
We introduce a novel distribution-based estimator for the Hurst parameter of log-volatility, leveraging the Kolmogorov-Smirnov statistic to assess the scaling behavior of entire distributions rather than individual moments. To address the…
We consider the estimation of binary election outcomes as martingales and propose an arbitrage pricing when one continuously updates estimates. We argue that the estimator needs to be priced as a binary option as the arbitrage valuation…
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…