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.
The paper analyzes short maturity Asian options using large deviations theory.
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…
This paper discusses the short-maturity behavior of Asian option prices and hedging portfolios. We consider the risk-neutral valuation and the delta value of the Asian option having a Hölder continuous payoff function in a local volatility model. The main idea of this analysis is that the local volatility model can be …
We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The novel and general equation works for options with a payoff of homogeneous of degree one, including European, American, Bermudan, Asian, barrier, lookback, etc., and leads to new insights into pric…
Closed-form pricing method for multi-asset options.
The method and characteristics of several approaches to the pricing of discretely monitored arithmetic Asian options on stocks with discrete, absolute dividends are described. The contrast between method behaviors for options with an Asian tail and those with monitoring throughout their lifespan is emphasized. Rates of…
The paper suggests using derivatives instead of stocks for better utility and risk management.
Space mapping calibrates financial models, shown feasible for Heston model.
New formulas for pricing Asian and basket options using stochastic expansion.
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns admits a Gram-Charlier A expansion with closed-form coefficients. We derive close…
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…
Study short maturity Asian options in jump-diffusion models with local volatility.
Analytical approximations for Asian option sensitivities in Black-Scholes model.
New approximations for Asian basket spread options using stochastic Taylor expansions.
Paper presents a novel nonparametric method to price Asian options.
Study finds a small correction to Asian option volatility.
The paper provides approximations for pricing Asian options using a mixed fractional Brownian motion with jumps.
Deep learning models price options using volatility surfaces.
In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example of this class of assets. This bond was the first Catastrophic Mortality Bond to be launched in the market and encapsulates the behaviour of …
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…
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 …
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…
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.
The paper introduces new methods for Asian option pricing using Laguerre quadrature.
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…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov process. The first two components are related to the stock and volatility processe…
The paper derives formulas for pricing geometric Asian options in the Volterra-Heston model.
In this paper the Buchen's pricing formulae of (higher order) asset and bond binary options are incorporated into the pricing formula of power binary options and a pricing formula of "the normal distribution standard options" with the maturity payoff related to a power function and the density function of normal distri…
Extends unbiased simulation method to Asian options.
We prove existence, regularity and a Feynman-Kač representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.
In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action functional whose potential term is an exponential function. This path integral …
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states of the economy described…
The paper compares machine learning methods with traditional techniques for pricing and sensitivities of financial products with path-dependent structures.
We characterize the price of an Asian option, a financial contract, as a fixed-point of a non-linear operator. In recent years, there has been interest in incorporating changes of regime into the parameters describing the evolution of the underlying asset price, namely the interest rate and the volatility, to model sud…
Study on implied volatility of Asian options with stochastic volatility.
New method for pricing discrete Asian and Lookback options under Heston model.
The paper analyzes implied volatility for European and Asian options under stochastic volatility Bachelier model.
The 1993 Laplace transform approach of Geman and Yor is a celebrated advance in valuing Asian options. Its insights are fundamental from both a mathematical and a financial perspective. In this paper, we discuss two observations regarding the financial relevance of its results. First, we show that the Geman and Yor Lap…
We study the short maturity asymptotics for prices of forward start Asian options under the assumption that the underlying asset follows a local volatility model. We obtain asymptotics for the cases of out-of-the-money, in-the-money, and at-the-money, considering both fixed strike and floating Asian options. The expone…
Tensor networks improve exotic option pricing efficiency.
Derives a series expansion for Asian option pricing with polynomial jump-diffusion moments.
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale invariance that exists in the theory of contingent claim pricing. This allows us to derive, in a natural way, a simple PDE for the price of …
We derive a closed-form solution for the price of an average price as well as an average strike geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also develop a pricing formula for an Asian option with a barrier on a control proces…
Develops a framework for valuing Asian options with market impact.
Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to the pricing of Asian options in the Black-Scholes model.
New method for pricing SOFR futures options, solving both American and Asian exercise styles.