相关论文: Renewal equations for option pricing

Recent findings suggest that processes such as the electronic energy transfer through the photosynthetic antenna display quantal features, aspects known from the dynamics of charge carriers along polymer backbones. Hence, in modeling energy…

Based on the theory of continuous time random walks (CTRW), we build the models of characterizing the transitions among anomalous diffusions with different diffusion exponents, often observed in natural world. In the CTRW framework, we take…

We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…

This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strategies by setting the premium as the value such that the…

The gambler's ruin problem for correlated random walks (CRW), both with and without delays, is addressed using the Optional Stopping Theorem for martingales. We derive closed-form expressions for the ruin probabilities and the expected game…

This whitepaper introduces an innovative mechanism for pricing perpetual contracts and quoting fees to traders based on current market conditions. The approach employs liquidity curves and on-chain oracles to establish a new adaptive…

General wrong way risk (WWR) estimation is necessary for regulatory CVA capital and useful for pricing CVA and FVA. We introduce a model independent method for calculating WWR and update the definition of WWR to deal with the lack of…

The theme in this paper is the recombining binomial tree to price American put option when the underlying stock follows constant elasticity of variance(CEV) process. Recombining nodes of binomial tree are decided from finite difference…

We extend the classical Cox-Ross-Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree increments with the corresponding moments of the increments…

We consider the linear response of systems modelled by continuous-time random walks (CTRW) and by fractional Fokker-Planck equations under the influence of time-dependent external fields. We calculate the corresponding response functions…

In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a pricing framework that can…

We consider the linear response of a system modelled by continuous-time random walks (CTRW) to an external field pulse of rectangular shape. We calculate the corresponding response function explicitely and show that it exhibits aging, i.e.…

We develop a continuous time random walk (CTRW) approach for the evolution of Lagrangian velocities in steady heterogeneous flows based on a stochastic relaxation process for the streamwise particle velocities. This approach describes…

This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…

This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…

We propose a new Directed Continuous-Time Random Walk (CTRW) model with memory. As CTRW trajectory consists of spatial jumps preceded by waiting times, in Directed CTRW, we consider the case with only positive spatial jumps. Moreover, we…

Under a generalized skew normal distribution we consider the problem of European option pricing. Existence of the martingale measure is proved. An explicit expression for a given European option price is presented in terms of the cumulative…

This paper introduces a dynamic change of measure approach for computing the analytical solutions of expected future prices (and therefore, expected returns) of contingent claims over a finite horizon. The new approach constructs hybrid…

The accurate valuation of financial derivatives plays a pivotal role in the finance industry. Although closed formulas for pricing are available for certain models and option types, exemplified by the European Call and Put options in the…

We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient…