Option Valuation in Multivariate SABR Models [PDF]
We consider the joint dynamic of a basket of n-assets where each asset itself follows a SABR stochastic volatility model. Using the Markovian Projection methodology we approximate a univariate displaced diffusion SABR dynamic for the basket to price caps
Jörg Kienitz, Manuel Wittke
core
Gamma and vega hedging using deep distributional reinforcement learning. [PDF]
Front Artif Intell, 2023 Cao J +6 more
europepmc +1 more source
A Numerical Scheme Based on Semi-Static Hedging Strategy [PDF]
, 2012 In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier options.
Imamura, Yuri +3 more
core
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities. [PDF]
Rev Deriv Res (Dordr), 2022 Muck M.
europepmc +1 more source
"On Pricing Barrier Options with Discrete Monitoring" [PDF]
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively ...
Akihiko Takahashi +2 more
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A variable-rate quantitative trait evolution model using penalized-likelihood. [PDF]
PeerJ, 2021 Revell LJ.
europepmc +1 more source
Calibrating and completing the volatility cube in the SABR Model
, 2022 Georgi Dimitroff, Johan de Kock
openalex +2 more sources
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. [PDF]
Ann Oper Res, 2022 Cummins M +4 more
europepmc +1 more source
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. [PDF]
Math Financ Econ, 2021 Bernis G +3 more
europepmc +1 more source
Target volatility option pricing in lognormal fractional SABR model [PDF]
, 2018 Elisa Alòs +3 more
openalex +1 more source