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Multi-Asset Barrier Options Pricing by Collocation BEM (with Matlab® Code)
Axioms, 2021 In this paper, we extend the SABO technique (Semi-Analytical method for Barrier Options), based on collocation Boundary Element Method (BEM), to the pricing of Barrier Options with payoff dependent on more than one asset.
Alessandra Aimi, Chiara Guardasoni
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Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes
Fractal and Fractional, 2023 Counterparty credit risk (CCR) is a significant risk factor that financial institutions have to consider in today’s context, and the COVID-19 pandemic and military conflicts worldwide have heightened concerns about potential default risk.
Fengyan Wu +4 more
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Option Pricing using Quantum Computers [PDF]
Quantum, 2020 We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods.
Nikitas Stamatopoulos +6 more
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Risks, 2023 We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an ...
Roman N. Makarov
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Multi-asset option pricing using an information-based model
Scientific African, 2020 Diversification of assets by an investor offers reduced exposure to risk compared to investing in a single asset. A multi-asset option gives an investor this advantage as its payout depends on the overall performance of several underlying assets.
Cynthia Ikamari +2 more
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Certificate pricing using Discrete Event Simulations and System Dynamics theory [PDF]
Risk Management Magazine, 2021 The study proposes an innovative application of Discrete Event Simulations (DES) and System Dynamics (SD) theory to the pricing of a certain kind of certificates very popular among private investors and, more generally, in the context of wealth ...
Pier Giuseppe Giribone +1 more
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Option Pricing with Fractional Stochastic Volatilities and Jumps
Fractal and Fractional, 2023 Empirical studies suggest that asset price fluctuations exhibit “long memory”, “volatility smile”, “volatility clustering” and asset prices present “jump”.
Sumei Zhang, Hongquan Yong, Haiyang Xiao
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European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks
Proceedings, 2020 Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based on the corresponding PDE formulations, is ...
Beatriz Salvador +2 more
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Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
Mathematics, 2020 Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding PDE formulations, is studied here ...
Beatriz Salvador +2 more
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A Multiobjective Decision-Making Model for Risk-Based Maintenance Scheduling of Railway Earthworks
Applied Sciences, 2021 Aged earthworks constitute a major proportion of European rail infrastructures, the replacement and remediation of which poses a serious problem. Considering the scale of the networks involved, it is infeasible both in terms of track downtime and money ...
Irina Stipanovic +3 more
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