A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New approximations for Asian basket spread options using stochastic Taylor expansions.
Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) models, such as the basket, spread, and Asian options. The option price is expressed as a quadrature i…
New formulas for pricing Asian and basket options using stochastic expansion.
This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket and options on the volume-weighted average price. We demonstrate that in cases under discussion lower bounds allow for the dimensionality of the problem to …
Tensor networks improve exotic option pricing efficiency.
The paper develops Hawkes-based models for LOB and applies them to European, spread, and basket option pricing.
New model values equity-linked securities with guaranteed return.
Closed-form pricing method for multi-asset options.
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our numerical results show that a second order expansion provides accurate prices o…
The paper uses moment matching method for pricing spread options under Lévy models.
Develops a framework for valuing Asian options with market impact.
The problem of quantile hedging for basket derivatives in the Black-Scholes model with correlation is considered. Explicit formulas for the probability maximizing function and the cost reduction function are derived. Applicability of the results for the widely traded derivatives as digital, quantos, outperformance and …
The paper suggests using derivatives instead of stocks for better utility and risk management.
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and…
Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs. As a main example, we focus on European basket options and include information on the prices of other similar options, such as spread options and/or basket options on subindices. We show tha…
In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the price of a univariate related contract after conditioning on the remaining underlying assets and calculating the mixed exponential-power mo…
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we det…
This study compares MC and QMC methods for derivative pricing, showing QMC's superior convergence rates.
The risk minimizing problem in the multidimensional Black-Scholes framework is studied. Specific formulas for the minimal risk function and the cost reduction function for basket derivatives are shown. Explicit integral representations for the risk functi…
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular atten…
We develop generic and efficient importance sampling estimators for Monte Carlo evaluation of prices of single- and multi-asset European and path-dependent options in asset price models driven by Lévy processes, extending earlier works which focused on the Black-Scholes and continuous stochastic volatility models. Usin…
The paper analyzes short maturity Asian options using large deviations theory.
The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the underlying stock follows a time changed mixed fractional Brownian motion. We then apply the results to price Asian power options on the stoc…
Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from conditional Asian options are determined only by average prices above certain t…
Study short maturity Asian options in jump-diffusion models with local volatility.
Analytical approximations for Asian option sensitivities in Black-Scholes model.
Paper presents a novel nonparametric method to price Asian options.
Study finds a small correction to Asian option volatility.
The paper solves the skewness problem in high-dimensional basket options.
The paper provides approximations for pricing Asian options using a mixed fractional Brownian motion with jumps.
Pricing of European basket call option with n-assets and a bond is discussed in this paper, where all prices of n-assets and the bond are driven by Exponential Ornstein-Uhlenbeck processes. The close-form of European basket option pricing formula is derived. Utilizing with 1-order differential approximate numerical sol…
Method calibrates basket options using rearranged samples from constituent processes.
Quantum state preparation framework speeds up basket option pricing.
Paper improves basket option pricing for log-normal models.
Study short-maturity Asian option pricing in LSV models using large deviations theory.
We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-neutral expectation of the quadratic variation of the return process and European option prices. The computation of arithmetic Asian option pr…
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows a local volatility model. The asymptotics for out-of-the-money, in-the-money, and at-the-money cases are derived, considering both fixed strike and float…
The article models financial asset returns using Gaussian mixtures and EVT-based copulas to price equity options.
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of Variance (CEV) model. We present an analytical approximation for the Asian options prices which has the appropriate short matu…
An analytic method for pricing American call options is provided; followed by an empirical method for pricing Asian call options. The methodology is the pricing theory presented in "A Modern Theory of Random Variation", by Patrick Muldowney, 2012.
We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a density-mixture dynamical model while the same property holds for the multivariate process of all assets, whose density is a mixture of mult…
The paper introduces new methods for Asian option pricing using Laguerre quadrature.
Generative model prices basket options efficiently.
Study efficient numerical methods for American basket options.
This paper uses basket option formulas to price vanilla options with discrete dividends.
In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and cutting the obtained Black-S…
The paper addresses hedging Asian options with transaction costs using asymptotic hedging.
The paper derives formulas for pricing geometric Asian options in the Volterra-Heston model.