Related papers: Pricing Quanto and Composite Contracts with Local-…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
Classical Monte Carlo algorithms can theoretically be sped up on a quantum computer by employing amplitude estimation (AE). To realize this, an efficient implementation of state-dependent functions is crucial. We develop a straightforward…
Quantum computing is poised to transform the financial industry, yet its advantages over traditional methods have not been evidenced. As this technology rapidly evolves, benchmarking is essential to fairly evaluate and compare different…
What classical resources are required to simulate quantum correlations? For the simplest and most important case of local projective measurements on an entangled Bell pair state, we show that exact simulation is possible using local hidden…
We present a simple and highly efficient analytical method for solving the Quanto Skew problem in Equities under a framework that accommodates both Equity and FX volatility skew consistently. Ease of implementation and extremely fast…
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
Pricing and settlement mechanisms are crucial for efficient re-source allocation, investment incentives, market competition, and regulatory oversight. In the United States, Regional Transmission Operators (RTOs) adopts a uniform pricing…
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these…
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…
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Quantification of the option's value is of practical importance…
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when…
In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with multiple maturities. In this paper, we provide an algorithm for…
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call…
This article contributes to the design and the verification of trusted components and services. The contracts are declined at several levels to cover then different facets, such as component consistency, compatibility or correctness. The…
Computer models are used to model complex processes in various disciplines. Often, a key source of uncertainty in the behavior of complex computer models is uncertainty due to unknown model input parameters. Statistical computer model…
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 extend variational quantum optimization algorithms for Quadratic Unconstrained Binary Optimization problems to the class of Mixed Binary Optimization problems. This allows us to combine binary decision variables with continuous decision…
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European…