Results 261 to 270 of about 5,976,249 (348)

Spanning Multi‐Asset Payoffs With ReLUs

open access: yesMathematical Finance, EarlyView.
ABSTRACT We propose a distributional formulation of the spanning problem of a multi‐asset payoff by vanilla basket options. This problem is shown to have a unique solution if and only if the payoff function is even and absolutely homogeneous, and we establish a Fourier‐based formula to calculate the solution.
Sébastien Bossu   +2 more
wiley   +1 more source

Polar Coordinates for the 3/2 Stochastic Volatility Model

open access: yesMathematical Finance, EarlyView.
ABSTRACT The 3/2 stochastic volatility model is a continuous positive process s with a correlated infinitesimal variance process ν$\nu $. The exact definition is provided in the Introduction immediately below. By inspecting the geometry associated with this model, we discover an explicit smooth map ψ$ \psi $ from (R+)2$({\mathbb{R}}^+)^2 $ to the ...
Paul Nekoranik
wiley   +1 more source

A Pure Dual Approach for Hedging Bermudan Options

open access: yesMathematical Finance, EarlyView.
ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi   +2 more
wiley   +1 more source

Optimal Contracts for Delegated Order Execution

open access: yesMathematical Finance, EarlyView.
ABSTRACT We determine the optimal affine contract for a client who delegates their order execution to a dealer. Existence and uniqueness are established for general linear price impact dynamics of the dealer's trades. Explicit solutions are available for the model of Obizhaeva and Wang, for example, and a simple gradient descent algorithm is applicable
Martin Larsson   +2 more
wiley   +1 more source

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