Related papers: SANOS Smooth strictly Arbitrage-free Non-parametri…
This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on…
A set of arbitrarily high-order WENO schemes for reconstructions on nonuniform grids is presented. These non-linear interpolation methods use simple smoothness indicators with a linear cost with respect to the order, making them easy to…
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 consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including…
This study introduces a SABR-informed multitask Gaussian process for constructing implied volatility surfaces from sparse option quotes. We treat a dense synthetic dataset generated by a calibrated SABR model as the source task and market…
Surface-based data is commonly observed in diverse practical applications spanning various fields. In this paper, we introduce a novel nonparametric method to discover the underlying signals from data distributed on complex surface-based…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
Direction of arrival (DOA) estimation in array processing using uniform/sparse linear arrays is concerned in this paper. While sparse methods via approximate parameter discretization have been popular in the past decade, the discretization…
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
Seamless global parametrization of surfaces is a key operation in geometry processing, e.g. for high-quality quad mesh generation. A common approach is to prescribe the parametric domain structure, in particular the locations of…
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional…
This study investigates the short-term asymptotic behavior of the implied volatility surface (IVS), with a particular focus on the at-the-money (ATM) skew and curvature, which are key determinants of the IVS shape and whose are widely…
We introduce and analyze a penalty-free formulation of the Shifted Boundary Method (SBM), inspired by the asymmetric version of the Nitsche method. We prove its stability and convergence for arbitrary order finite element interpolation…
We consider model selection and estimation for partial spline models and propose a new regularization method in the context of smoothing splines. The regularization method has a simple yet elegant form, consisting of roughness penalty on…
There is a vast literature on numerical valuation of exotic options using Monte Carlo, binomial and trinomial trees, and finite difference methods. When transition density of the underlying asset or its moments are known in closed form, it…
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of…
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 design a novel calibration procedure that is designed to handle the specific characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the possibility of missing or incoherent prices in the considered data…
We establish a quantitative version of the classical Halmos-Savage Theorem for convex, potentially non-dominated sets of probability measures and its dual counterpart, generalizing previous quantitative versions. These results are then used…