相关论文: Mirror Options

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…

This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…

The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer…

Variational inequalities play a key role in machine learning research, such as generative adversarial networks, reinforcement learning, adversarial training, and generative models. This paper is devoted to the constrained variational…

A general method is given for revising degrees of belief and arriving at consistent decisions about a system of logically constrained issues. In contrast to other works about belief revision, here the constraints are assumed to be fixed.…

Finding diverse solutions to optimization problems has been of practical interest for several decades, and recently enjoyed increasing attention in research. While submodular optimization has been rigorously studied in many fields, its…

In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of…

We consider the problem of aggregating the elements of a possibly infinite dictionary for building a decision procedure that aims at minimizing a given criterion. Along with the dictionary, an independent identically distributed training…

A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…

The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance.…

The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…

A decision maker repeatedly chooses one of a finite set of actions. In each period, the decision maker's payoff depends on fixed basic payoff of the chosen action and the frequency with which the action has been chosen in the past. We…

Some adaptive analogue of the Mirror Prox method for variational inequalities is proposed. In this work we consider the adaptation not only to the value of the Lipschitz constant, but also to the magnitude of the oracle error. This…

We first give a complete, albeit brief, review of the discovery of mirror symmetry in $N=2$ string/conformal field theory. In particular, we describe the naturality arguments which led to the initial mirror symmetry conjectures and the…

We build a methodology that takes a given option price in the tails with strike $K$ and extends (for calls, all strikes > $K$, for puts all strikes $< K$) assuming the continuation falls into what we define as "Karamata Constant" over which…

Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…

Using theory and experiments, this paper shows that the difficulty of making tradeoffs offers a parsimonious explanation for a wide range of behavioral phenomena. We develop a model of imprecise comparisons applicable to multiattribute,…

A new mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock as well as new initial and boundary conditions. Conventional notions of…

We suggest that one individual holds multiple degrees of belief about an outcome, given the evidence. We then investigate the implications of such noisy probabilities for a buyer and a seller of binary options and find the odds agreed upon…

Managing a book of options on several underlying involves controlling positions of several thousands of financial assets. It is one of the most challenging financial problems involving both pricing and microstructural modeling. An options…