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arXiv research

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.

168,742 papers · 148 categories

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0111 · Nov 202019922001200920172026
4 results for “Cherny-Shiryaev-Yor”
Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton modelq-fin.PR

Extends BBSM model to incorporate ESG ratings and path dynamics.

problem Price stock options considering historical market index dynamics and ESG ratings.
method Develops discrete, binary tree option pricing model under BBSM with ESG valuation.
result Model accurately fits stock price changes and European call option prices.
Bachelier-Black-Scholes-MertonESG ratingspath dynamicsoption pricingCherny-Shiryaev-Yor
2025-08-26abs ↗pdf ↗
Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approachesq-fin.MF

Innovative extensions to option pricing models using asymmetric Brownian motion and random walk approaches.

problem Capturing empirical phenomena like return skewness, heavy tails, and volatility asymmetry in option pricing models.
method Developing the Geometric Asymmetric Brownian Motion (GABM) within the Bachelier--Black--Scholes--Merton framework.
result Deriving closed-form option pricing formulas and a discrete-time binomial tree algorithm that converges to the GABM limit.
option pricingasymmetric Brownian motionrandom walkCherny--Shiryaev--Yor invariance principleskewness
2026-06-21abs ↗pdf ↗
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosisq-fin.MF

Extended Jarrow-Rudd model with skewness and kurtosis for option pricing.

problem Valuation of options with non-normal market dynamics.
method Introduced a generalized Jarrow-Rudd (GJR) model with skewness and kurtosis, incorporating transaction costs and market driver influences.
result Demonstrated the GJR pricing model's effectiveness in fitting market data.
option valuationJarrow-Rudd modelskewnesskurtosismarket dynamics
2021-06-16abs ↗pdf ↗