Related papers: Option pricing under stochastic volatility on a qu…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
Quantum computers promise to revolutionize our ability to simulate molecules, and cloud-based hardware is becoming increasingly accessible to a wide body of researchers. Algorithms such as Quantum Phase Estimation and the Variational…
We develop circuit implementations for digital-level quantum Hamiltonian dynamics simulation algorithms suitable for implementation on a reconfigurable quantum computer, such as trapped ions. Our focus is on the co-design of a problem, its…
Stochastic volatility models based on Gaussian processes, like fractional Brownian motion, are able to reproduce important stylized facts of financial markets such as rich autocorrelation structures, persistence and roughness of sample…
In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…
European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. American option prices can be obtained by solving…
Variational quantum algorithms are expected to demonstrate the advantage of quantum computing on near-term noisy quantum computers. However, training such variational quantum algorithms suffers from gradient vanishing as the size of the…
This paper presents the Runge-Kutta-Legendre finite difference scheme, allowing for an additional shift in its polynomial representation. A short presentation of the stability region, comparatively to the Runge-Kutta-Chebyshev scheme…
In this paper, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic…
The simulation of electronic properties is a pivotal issue in modern electronic structure theory, driving significant efforts over the past decades to develop protocols for computing energy derivatives. In this work, we address this problem…
Ensemble learning is characterized by flexibility, high precision, and refined structure. As a critical component within computational finance, option pricing with machine learning requires both high predictive accuracy and reduced…
We introduce a new approach to quantize the Euler scheme of an $\mathbb{R}^d$-valued diffusion process. This method is based on a Markovian and componentwise product quantization and allows us, from a numerical point of view, to speak of…
Quantum computers are expected to contribute more efficient and accurate ways of modeling economic processes. Quantum hardware is currently available at a relatively small scale, but effective algorithms are limited by the number of logic…
This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting factors of volatility, where slow volatility factor is…
Variational hybrid quantum-classical algorithms are promising candidates for near-term implementation on quantum computers. In these algorithms, a quantum computer evaluates the cost of a gate sequence (with speedup over classical cost…
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the Heston (or square root) process, 1-…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston stochastic variance process is defined as a tensor product of a Hilbert-valued Ornstein-Uhlenbeck process with itself. The volatility process…
Quantum machine learning algorithms have emerged to be a promising alternative to their classical counterparts as they leverage the power of quantum computers. Such algorithms have been developed to solve problems like electronic structure…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…