Automatic adjoint differentiation for gradient descent and model calibration [PDF]
, 2020 In this work, we discuss the Automatic Adjoint Differentiation (AAD) for functions of the form G=12∑m1(Eyi−Ci)2, which often appear in the calibration of stochastic models.
Goloubentsev, Dmitri, Lakshtanov, Evgeny
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Adomian decomposition method for analytical solution of a continuous arithmetic Asian option pricing model [PDF]
, 2019 One of the main issues of concern in financial mathematics has been a viable method for obtaining analytical solutions of the Black-Scholes model associated with Arithmetic Asian Option (AAO).
Akinlabi, G. O. +2 more
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Integration of Fractional Order Black-Scholes Merton with Neural Network
, 2023 This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model.
Arora, Kapil +3 more
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BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems [PDF]
, 2018 In the recent project BENCHOP–the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging.
Haentjens, T. (Tinne) +11 more
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Deeper Hedging: A New Agent-based Model for Effective Deep Hedging
, 2023 We propose the Chiarella-Heston model, a new agent-based model for improving the effectiveness of deep hedging strategies. This model includes momentum traders, fundamental traders, and volatility traders. The volatility traders participate in the market
Gao, Kang +5 more
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Pricing American options via multi-level approximation methods [PDF]
, 2013 In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different levels of spatial
Belomestny, Denis +2 more
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Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model
, 2023 This note explores in more details instabilities of explicit super-time-stepping schemes, such as the Runge-Kutta-Chebyshev or Runge-Kutta-Legendre schemes, noticed in the litterature, when applied to the Heston stochastic volatility model. The stability
Floc'h, Fabien Le
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Pricing high-dimensional Bermudan options with hierarchical tensor formats [PDF]
, 2021 An efficient compression technique based on hierarchical tensors for popular option pricing methods is presented. It is shown that the "curse of dimensionality" can be alleviated for the computation of Bermudan option prices with the Monte Carlo least ...
Bayer, Christian +3 more
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Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure
, 2023 The Barndorff-Nielsen and Shephard model is a representative jump-type stochastic volatility model. Still, no method exists to compute option prices numerically for the non-martingale case with infinite active jumps. We develop two simulation methods for
Arai, Takuji, Imai, Yuto
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Greeks' pitfalls for the COS method in the Laplace model
, 2023 The Greeks Delta, Gamma and Speed are the first, second and third derivatives of a European option with respect to the current price of the underlying asset.
Behrens, Tobias, Junike, Gero
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