Results 21 to 30 of about 1,126,168 (149)

Mass at zero in the uncorrelated SABR model and implied volatility asymptotics [PDF]

arXiv, 2015
We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As an application--in fact the original motivation for this paper--we derive small-strike expansions for the implied volatility when the maturity becomes short or large.
Archil Gulisashvili, Blanka Horvath, Antoine Jacquier   +2 more
arxiv   +1 more source

Probability Density of Lognormal Fractional SABR Model

Risks, 2022
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion.
Jiro Akahori, Xiaoming Song, Tai-Ho Wang
doaj   +1 more source

Deep Reinforcement Learning for Dynamic Stock Option Hedging: A Review

Mathematics, 2023
This paper reviews 17 studies addressing dynamic option hedging in frictional markets through Deep Reinforcement Learning (DRL). Specifically, this work analyzes the DRL models, state and action spaces, reward formulations, data generation processes and ...
Reilly Pickard, Yuri Lawryshyn
doaj   +1 more source

Proof of non-convergence of the short-maturity expansion for the SABR model [PDF]

Quantitative finance (Print), 2021
We study the convergence properties of the short maturity expansion of option prices in the uncorrelated log-normal ( ) SABR model. In this model, the option time-value can be represented as an integral of the form with a ‘payoff function’ which is given
Alan L. Lewis, D. Pirjol
semanticscholar   +1 more source

On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model [PDF]

International Journal of Theoretical and Applied Finance, 2023
In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price.
E. Alòs, E. Nualart, Makar Pravosud
semanticscholar   +1 more source

A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models

Risks, 2020
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero, Wahid Khosrawi, Josef Teichmann   +2 more
doaj   +1 more source

Stereotactic ablative radiotherapy before resection to avoid delay for early‐stage lung cancer or oligometastases during the COVID‐19 pandemic: Pathologic outcomes from the SABR‐BRIDGE protocol

Cancer, Volume 129, Issue 18, Page 2798-2807, 15 September 2023., 2023
Abstract Background During coronavirus disease 2019 (COVID‐19)–related operating room closures, some multidisciplinary thoracic oncology teams adopted a paradigm of stereotactic ablative radiotherapy (SABR) as a bridge to surgery, an approach called SABR‐BRIDGE. This study presents the preliminary surgical and pathological results.
Biniam Kidane, Ian J. Gerard, Jonathan Spicer, Julian O. Kim, Pierre O. Fiset, Paul Wawryko, Matthew J. Cecchini, Richard Inculet, Bassam Abdulkarim, Dalilah Fortin, Mehdi Qiabi, Gefei Qing, Stephanie Enns, Bashir Bashir, James Tankel, Elliot Wakeam, Andrew Warner, Neil Kopek, Brian P. Yaremko, George B. Rodrigues, Joanna M. Laba, Melody Qu, Richard A. Malthaner, David A. Palma   +23 more
wiley   +1 more source

Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method

Journal of Futures Markets, Volume 43, Issue 7, Page 925-950, July 2023., 2023
Abstract The hedging of European contingent claims in a continuous‐time hidden Markov‐regime‐switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte‐Carlo simulations. Specifically, the price dynamics of an underlying risky asset are governed by a continuous‐time hidden Markov‐modulated local‐volatility model ...
Robert J. Elliott, Tak Kuen Siu
wiley   +1 more source

Clinical evidence for synergy between immunotherapy and radiotherapy (SITAR)

Journal of Medical Imaging and Radiation Oncology, Volume 66, Issue 6, Page 881-895, September 2022., 2022
Summary Previous preclinical and clinical trials have shown promising antitumour activity and toxicity profile when employing the ‘Synergy between Immunotherapy and Radiotherapy’ (SITAR) strategy. Approximately, one in seven radiation therapy studies currently recruiting is investigating SITAR. This article reviews the range of cancers known to respond
Suki Gill, Anna K Nowak, Samantha Bowyer, Raelene Endersby, Martin A Ebert, Alistair Cook   +5 more
wiley   +1 more source

The price‐leverage covariation as a measure of the response of the leverage effect to price and volatility changes

Applied Stochastic Models in Business and Industry, Volume 38, Issue 3, Page 497-511, May/June 2022., 2022
Abstract We study the sensitivity of the leverage effect to changes of the volatility and the price, showing the existence of an analytical link between the latter and the price‐leverage covariation in settings with, respectively, stochastic and level‐dependent volatility.
Giacomo Toscano
wiley   +1 more source