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Preliminary remarks on option pricing and dynamic hedging
Quantitative finance option pricing, European option dynamic hedging replication arbitrage time series volatility abrupt changes model-free control nonstandard analysis.
2012/9/14
An elementary arbitrage principle and the existence of trends in financial time series, which is base on a theorem published in 1995 by P. Cartier and Y. Perrin,lead to a new understanding of option p...
High-order short-time expansions for ATM option prices under a tempered stable Lévy model
Exponential Levy models CGMY and tempered stable models short-time asymptotics at-the-money option pricing implied volatility.
2012/9/14
The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM opti...
Option prices with call prices
Option valuation Barrier options Call options Americanoptions static hedging
2012/9/14
There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we int...
Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...
Model-independent Bounds for Option Prices: A Mass Transport Approach
Model-independent pricing Monge-Kantorovich transport problem option arbitrage
2011/7/4
In this paper we investigate model-independent bounds for exotic options written on a risky asset
using infinite-dimensional linear programming methods.
Using arguments from the theory of Monge-Kant...
Pricing of average strike Asian call option using numerical PDE methods
Asian Option Crank Nicolson Implicit Method Higher Order Compact Monte Carlo Simulation
2011/7/4
In this paper, a standard PDE for the pricing of arithmetic average strike Asian call option is presented. A Crank-Nicolson Implicit Method and a Higher Order Compact finite difference scheme for this...
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Stochastic volatility option pricing perturbation theory
2010/10/29
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretic...
Quantum Neural Computation for Option Price Modelling
Option price modelling Quantum neural computation nonlinear Schr¨odinger equations leverage effect bidirectional associative memory
2010/10/29
We propose a new cognitive framework for option price modelling, using quantum
neural computation formalism. Briefly, when we apply a classical nonlinear neuralnetwork
learning to a linear quantum S...
Goodness-of-"t tests for kernel regression with an application to option impliedvolatilities
Goodness-of-"t Kernel regression Speci"cation testing Implied volatility smile
2014/3/13
This paper proposes a test of a restrictedspeci"cation of regression, basedon comparing residual sum of squares from kernel regression. Our main case is where both the restrictedspeci"cation andthe ge...