Related papers: iCOS: Option-Implied COS Method
In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to…
Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk…
Inverse Optimal Control (IOC) aims to infer the underlying cost functional of an agent from observations of its expert behavior. This paper focuses on the IOC problem within the continuous-time linear quadratic regulator framework,…
We derive a semi-analytical pricing formula for European VIX call options under the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This arbitrage-free model incorporates the volatility clustering feature by adding…
Inferring the parameters of ordinary differential equations (ODEs) from noisy observations is an important problem in many scientific fields. Currently, most parameter estimation methods that bypass numerical integration tend to rely on…
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the risk-neutrality of the former into conditions on the latter…
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…
We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to…
We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of…
Computing accurate estimates of the Fourier transform of analog signals from discrete data points is important in many fields of science and engineering. The conventional approach of performing the discrete Fourier transform of the data…
We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove…
We introduce a non-parametric method to recover physical probability distributions of asset returns based on their European option prices and some other sparse parametric information. Thus the main problem is similar to the one considered…
Importance sampling is a promising variance reduction technique for Monte Carlo simulation based derivative pricing. Existing importance sampling methods are based on a parametric choice of the proposal. This article proposes an algorithm…
Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…
Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called "dispersion strategy''.…
Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are competitive compared to alternative techniques because the integrand in the…
Camouflaged Object Segmentation (COS) faces significant challenges due to the scarcity of annotated data, where meticulous pixel-level annotation is both labor-intensive and costly, primarily due to the intricate object-background…
In this paper, we present an implicit finite difference method for the numerical solution of the Black-Scholes model of American put options without dividend payments. We combine the proposed numerical method by using a front fixing…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
We observe $n$ inhomogeneous Poisson processes with covariates and aim at estimating their intensities. We assume that the intensity of each Poisson process is of the form $s (\cdot, x)$ where $x$ is the covariate and where $s$ is an…