相关论文: A Harmonic Analysis Solution to the Static Basket …

We study the principal component analysis based approach introduced by Reisinger & Wittum (2007) and the comonotonic approach considered by Hanbali & Linders (2019) for the approximation of American basket option values via multidimensional…

\begin{abstract} In this paper, we integrated the statistical arbitrage strategy, pairs trading, into the Black-Litterman model and constructed efficient mean-variance portfolios. Typically, pairs trading underperforms under volatile or…

We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically we assume that the American put must be exercised at either…

In this paper we study pricing of American put options on the Black and Scholes market with a stochastic interest rate and finite-time maturity. We prove that the option value is a $C^1$ function of the initial time, interest rate and stock…

The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a…

In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…

This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…

We analyse the computational complexity of finding Nash equilibria in stochastic multiplayer games with $\omega$-regular objectives. While the existence of an equilibrium whose payoff falls into a certain interval may be undecidable, we…

This paper studies an online selection problem, where a seller seeks to sequentially sell multiple copies of an item to arriving buyers. We consider an adversarial setting, making no modeling assumptions about buyers' valuations for the…

We present an analytic approach to solve a degenerate parabolic problem associated to the Heston model, which is widely used in mathematical finance to derive the price of an European option on an risky asset with stochastic volatility. We…

We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…

The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…

This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…

The purpose of this work is to explore the role that random 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…

In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…

The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed…

Algorithmic stability is a central concept in statistics and learning theory that measures how sensitive an algorithm's output is to small changes in the training data. Stability plays a crucial role in understanding generalization,…

This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump…

It is well known that Cauchy problem for Laplace equations is an ill-posed problem in Hadamard's sense. Small deviations in Cauchy data may lead to large errors in the solutions. It is observed that if a bound is imposed on the solution,…

Algorithmic pricing is the computational problem that sellers (e.g., in supermarkets) face when trying to set prices for their items to maximize their profit in the presence of a known demand. Guruswami et al. (2005) propose this problem…