相关论文: Static Arbitrage Bounds on Basket Option Prices

We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit…

We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also provide precise boundaries for the…

We consider the classical mathematical economics problem of {\em Bayesian optimal mechanism design} where a principal aims to optimize expected revenue when allocating resources to self-interested agents with preferences drawn from a known…

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…

Semi-analytical pricing of American options in a time-dependent Ornstein-Uhlenbeck model was presented in [Carr, Itkin, 2020]. It was shown that to obtain these prices one needs to solve (numerically) a nonlinear Volterra integral equation…

In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral…

We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of the affine functions it dominates. These neural networks,…

Electricity price prediction plays a vital role in energy storage system (ESS) management. Current prediction models focus on reducing prediction errors but overlook their impact on downstream decision-making. So this paper proposes a…

We consider the problem of computing the Value Adjustment of European contingent claims when default of either party is considered, possibly including also funding and collateralization requirements. As shown in Brigo et al. (\cite{BLPS},…

We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma model. From a numerical point of view, pricing such options corresponds to moderate and high dimensional numerical integration problems with…

In settings where full incentive-compatibility is not available, such as core-constraint combinatorial auctions and budget-balanced combinatorial exchanges, we may wish to design mechanisms that are as incentive-compatible as possible. This…

We consider a randomized algorithm for the unique games problem, using independent multinomial probabilities to assign labels to the vertices of a graph. The expected value of the solution obtained by the algorithm is expressed as a…

Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting…

We describe an algorithm for finding sharp upper bounds for the total Betti numbers of a saturated ideal given certain constraints on its Hilbert function. This algorithm is implemented in the Macaulay2 package, MaxBettiNumbers, along with…

Capacitated network bargaining games are popular combinatorial games that involve the structure of matchings in graphs. We show that it is always possible to stabilize unit-weight instances of this problem (that is, ensure that they admit a…

This paper presents a novel and direct approach to price boundary and final-value problems, corresponding to barrier options, using forward deep learning to solve forward-backward stochastic differential equations (FBSDEs). Barrier…

Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and estimating the corresponding execution probabilities. We show…

The European power grid can be divided into several market areas where the price of electricity is determined in a day-ahead auction. Market participants can provide continuous hourly bid curves and combinatorial bids with associated…

We study the communication complexity of linear algebraic problems over finite fields in the multi-player message passing model, proving a number of tight lower bounds. Specifically, for a matrix which is distributed among a number of…

We improve the lower bound on the asymptotic competitive ratio of any online algorithm for bin packing to above 1.54278. We demonstrate for the first time the advantage of branching and the applicability of full adaptivity in the design of…