Results 51 to 60 of about 129,079 (132)
Interest rate models with Markov chains [PDF]
, 2009 Imperial Users ...
Manlio BattagliaTrovato +1 more
core
Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
, 2016 This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$.
Langrené, Nicolas +2 more
core +2 more sources
On a Symmetrization of Diffusion Processes [PDF]
, 2012 The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process.
Akahori, Jiro, Imamura, Yuri
core
Molecular Oncology, Volume 19, Issue S1, Page 1-940, June 2025.Abstracts submitted to the ‘EACR 2025 Congress: Innovative Cancer Science’, from 16–19 June 2025 and accepted by the Congress Organising Committee are published in this Supplement of Molecular Oncology, an affiliated journal of the European Association for Cancer Research (EACR).
wiley +1 more source
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
Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models [PDF]
The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets.
Carol Alexandra, Leonardo M. Nogueira
core
Implied value-at-risk and model-free simulation. [PDF]
Ann Oper Res, 2022 Bernard C, Perchiazzo A, Vanduffel S.
europepmc +1 more source
Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas. [PDF]
In practice the option pricing models are calibrated to market prices of liquid instruments. Consequently for those instruments, all the models give the same price. But the computed risk can be widely different.
Marc Henrard
core
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
Gamma and vega hedging using deep distributional reinforcement learning. [PDF]
Front Artif Intell, 2023 Cao J +6 more
europepmc +1 more source