Related papers: Tradable Schemes
In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for time discretised diffusion processes. We…
This paper deals with the numerical solution of the Heston partial differential equation that plays an important role in financial option pricing, Heston (1993, Rev. Finan. Stud. 6). A feature of this time-dependent, two-dimensional…
We present a comprehensive quantum algorithm tailored for pricing autocallable options, offering a full implementation and experimental validation. Our experiments include simulations conducted on high-performance computing (HPC) hardware,…
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a…
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…
The authors present a new simple algorithm to approximate weakly stochastic differential equations in the spirit of [1] and [2]. They apply it to the problem of pricing Asian options under the Heston stochastic volatility model, and compare…
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are…
An important problem that arises in many engineering applications is the boundary value problem for ordinary differential equations. There have been many computational methods proposed for dealing with this problem. The convergence of the…
We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods. The options that we…
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are…
We construct a finite element like scheme for fully non-linear integro-partial differential equations arising in optimal control of jump-processes. Special cases of these equations include optimal portfolio and option pricing equations in…
We apply a utility-based method to obtain the value of a finite-time investment opportunity when the underlying real asset is not perfectly correlated to a traded financial asset. Using a discrete-time algorithm to calculate the…
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that optimal strategies must lie on a discrete grid in the plane, and…
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing fractional…
This paper investigates the pricing and hedging of variance swaps under a $3/2$ volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the benchmark approach, which only requires the existence of the…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…
In this paper, we discuss a simple yet robust PDE method for evaluating path-dependent Asian-style options using the non-oscillatory forward-in-time second-order MPDATA finite-difference scheme. The valuation methodology involves casting…
Option pricing, a fundamental problem in finance, often requires solving non-linear partial differential equations (PDEs). When dealing with multi-asset options, such as rainbow options, these PDEs become high-dimensional, leading to…
Optimal pricing of European call option is described by linear stochastic differential equation. Trading strategy given by a twin of stochastic variables was integrated w.r.t. Black-Scholes formula to adopt optimal pricing to tarading…