Study on pricing American Exchange options using Lévy processes.
problem Pricing American Exchange options driven by Lévy processes.
method Represented American Exchange options as European options plus early exercise premium; studied properties of free boundary and provided an approximative formula.
result Developed an approximative formula for American Exchange options.
Study exchange option pricing with stochastic volatility and correlation.
problem Pricing exchange options under stochastic volatility and correlation.
method Approximation using a closed-form solution with Taylor expansion.
result Numerical results show the effectiveness of the proposed method.
Paper compares MCMC-based copula methods for exchange option pricing.
problem Pricing exchange options using copulas and MCMC.
method Risk-neutral pricing, copulas, and MCMC algorithm.
result Different copula models provide similar option prices except Gumbel.
The article provides representations of exchange option prices under SVJD dynamics.
problem Modeling and pricing exchange options under stochastic volatility and jumps.
method Develops representations for European and American exchange options using SVJD dynamics and equivalent martingale measures.
result Derives integro-partial differential equations and representations for exchange option prices.
A new method for pricing exchange options under stochastic volatility and jumps.
problem Pricing European and American exchange options with stochastic volatility and jumps.
method Equivalent martingale measure, numeraire choice, integral transforms, Kolmogorov backward equation, integral equations.
result Reduced exchange option pricing to a one-dimensional problem of a call option.
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral attribute of humans reacting disproportionately to big changes. This nonlinear response …
Study finds GBM model accurately predicts stock prices on Ghana Stock Exchange.
problem Investigating the suitability of GBM for modeling stock price dynamics.
method Geometric Brownian Motion model applied to weekly and monthly returns of equities listed on the Ghana Stock Exchange.
result GBM model accurately forecasts stock prices with minimal deviations, as evidenced by MSE evaluations.
Study analyzes price response and spread impact in foreign exchange markets.
problem Understanding deviations from Markovian behavior in foreign exchange markets.
method Detailed large-scale data analysis of price response functions for different years and time scales, using pip bid-ask spread definition.
result Large pip spreads significantly impact price response in foreign exchange markets.
A new method for choosing strike conventions in exchange option pricing is proposed.
problem Choosing appropriate strikes for implied volatility inputs in exotic multi-asset derivatives.
method Constructing an optimal log-linear strike convention using Malliavin Calculus.
result The optimal strike convention minimizes the difference between Margrabe computed price and true option price.
Study compares market microstructure between two South African exchanges.
problem Understanding price response dynamics and market microstructure differences between two South African exchanges.
method Comparative analysis of returns distributions, auto-correlations, price impact, and trading costs on different time scales.
result Similar stylized facts emerge as measurement time scale increases, but price responses vary significantly.
Numerical method for pricing exchange options with stochastic volatility and jumps.
problem Pricing exchange options under stochastic volatility and jump-diffusion dynamics.
method Method of lines (MOL) approach to simplify and solve the PDEs.
result Characterization of near-maturity American exchange option boundary and impact of model parameters.
This study examines how DEXs impact traders' behavior in perpetual futures contracts.
problem Understanding trader behavior in decentralized exchanges.
method Categorizing DEX models and analyzing their impact on trading patterns.
result DEXs, particularly those using VAMM, show differential effects on long and short positions.
DEX allows HFTs to quickly acquire speed, improving price discovery without sacrificing liquidity.
problem Low-latency trading's externality and resource inefficiency in centralized exchanges.
method Model of decentralized exchanges with real-time speed acquisition from peer-to-peer networks.
result HFTs on DEX acquire more speed for shorter timespans, decreasing price discovery time and reducing resource lock-in.
Study efficient pricing method for exchange options using Ornstein-Uhlenbeck model.
problem Pricing exchange options under dynamic stochastic correlation.
method Exploits Ornstein-Uhlenbeck covariance model with Levy noise, uses Taylor polynomials and cubic splines.
result Efficiently computes exchange option prices compared to Monte Carlo methods.
The article prices exchange options using variance gamma-like models.
problem Pricing exchange options under specific stochastic processes.
method Derives formulas for variance gamma and variance gamma++ processes, constructs multidimensional versions, calibrates parameters with real data.
result Closed formulas and numerical methods for evaluating exchange options.
Paper introduces CLVR to reduce price volatility in AMM exchanges.
problem Intra-block price volatility in AMM exchanges.
method CLVR constructs an ordering to minimize price volatility with low computation cost.
result CLVR minimizes price volatility with a small computation cost and can be externally verified.
Develops numerical methods for pricing exchange options in a market with limited liquidity.
problem Pricing European style exchange options in a market with finite liquidity.
method Integrates price impact into the dynamics of correlated assets using a controlled variate approach.
result Numerical pricing methods for exchange options are developed and validated.
Study collective pricing and hedging with admissible risk exchanges forming a finitely generated convex cone.
problem Collective pricing and hedging with exchanges forming a finitely generated convex cone.
method Extend collective First Fundamental Theorem of Asset Pricing and pricing-hedging duality.
result No collective arbitrage implies the closedness of the aggregate feasibility cone.
This study compares price discovery in ETH and BTC markets between centralized and decentralized exchanges.
problem Understanding price discovery dynamics in cryptocurrency markets.
method Comparative analysis of centralized and decentralized exchanges, using econometric tools.
result Centralized exchanges lead in ETH price discovery, while futures markets lead in BTC.
The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-by-tick data from the National Stock Exchange (NSE) and daily closing price data from both NSE and the Bombay Stock Exchange (BSE), the two largest exchanges in India.…
Develops a new model for cross-currency derivatives pricing.
problem Pricing cross-currency derivatives in a complex market model.
method Introduces a random field LIBOR market model to handle uncertainty in forward LIBOR rates.
result Derives exact and approximate pricing formulas for various derivatives.
Study finds recurring patterns in cryptocurrency volatility and liquidity.
problem Recurring patterns in volatility and liquidity of major cryptocurrencies.
method Data from two centralized exchanges and a decentralized exchange analyzed for patterns.
result Systematic patterns in volatility and liquidity across different timeframes.
The QLBS model is enhanced with a large trader's impact, leading to optimal hedging strategies.
problem Finding an optimal hedging strategy with low transaction costs and fair price convergence.
method Extending the QLBS model, defining a hypothetical limit order book, and using batch-mode reinforcement learning.
result Optimal hedging strategy with lower transaction costs and fair price convergence.
PRIME models cryptocurrency exchange market impact.
problem Understanding and predicting market impact in cryptocurrency exchanges.
method Developed a multi-agent simulation to model market impact.
result Allows better estimation of market slippage and knock-on consequences.
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market…
New dynamic curves improve cryptocurrency exchange liquidity.
problem Low liquidity and arbitrage opportunities in existing AMMs.
method Dynamic curves adjust AMM function based on market prices.
result Maintains liquidity and total LP value over wide market price ranges.
Study examines impact of oil and gold prices on Tehran Stock Exchange.
problem Impact of oil and gold prices on Tehran Stock Exchange.
method ARIMA-Copula model, cross-validation, Clayton copula.
result TSE is indirectly influenced by gold price through other factors such as oil; TSE is not independent of oil price volatility.
This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices but lower execution rates. Informed traders receive noisy and heterogeneous signal…
The team predicts foreign exchange rates using clustering and attention models.
problem Complexity and unexpected events in foreign exchange markets.
method Clustering and attention models applied to historical data.
result Improved event-driven price prediction for oversold scenarios.
Geometric Mean Market Makers super-hedge impermanent loss without models.
problem Super-hedging impermanent loss in Geometric Mean Market Makers.
method Model-free rebalancing strategy.
result Loss-versus-rebalancing vanishes due to finite variation exchange rate.
The geometric Lévy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying Lévy process has been specified, th…
Study examines how crypto arbitrage affects XRP price and network correlation.
problem Impact of crypto arbitrage on XRP price and network correlation.
method Examined XRP price fluctuations and correlation tensor spectra of transaction networks across crypto exchanges.
result Arbitrage opportunities across crypto exchanges anti-correlate with XRP price during bubble periods.
We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold for model prices and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows strict local martingale dynamics. More precisely, we discuss a chan…
Blockchain trading faces limits due to time-consuming settlement, exposing arbitrageurs to price risk.
problem Time-consuming settlement in blockchain trading limits arbitrage opportunities.
method Analysis of Bitcoin network and order book data.
result Cross-exchange price differences coincide with high settlement latency and low default risk.
Study compares models for pricing multi-strike quanto call options with SV, SC, and SER.
problem Pricing multi-strike quanto call options with stochastic volatility, correlation, and exchange rates.
method Comparative analysis of SV, SC, and SER models; Monte Carlo simulation; Milstein scheme; antithetic variates; correlation risk parameters.
result GARCH-Jump SV, Weibull SC, and Ornstein Uhlenbeck (OU) SER model combination performs best.
We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30 price fluctuations and of the S&P100 price fluctuations to the universal non-paramet…
The paper investigates cyclic arbitrage opportunities in decentralized exchanges.
problem Price discrepancies in decentralized exchanges lead to arbitrage opportunities.
method Theoretical framework and analysis of transaction-level data.
result Traders have executed over 292,606 cyclic arbitrages over eleven months, exploiting more than 138 million USD in revenue.
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price acc…
Blockchain-based exchanges adopt based on token pair volatility and personal use.
problem Token value loss and arbitrage issues in decentralized exchanges.
method Investigation of Automated Market Makers (AMMs) using transaction-level data.
result AMMs are adopted for high personal use or highly correlated token price movements.
Strategic traders adjust indicative prices near auctions to achieve nearly diffusive outcomes.
problem Achieving diffusive price behavior in Paris Stock Exchange auctions.
method Analyzing the diffusive properties of indicative auction prices and the strategic behavior of traders.
result Strategic traders adjust their order submission times to achieve nearly diffusive price behavior.
The study categorizes Korean Exchange member firms into three types and analyzes their trading behavior.
problem Understanding the trading behavior of member firms on the Korea Exchange.
method Member firms were categorized into three types based on investor type. Trading dynamics were examined through directionality and trend analysis.
result Member firms exhibit distinct trading behaviors: FRMs trade one-way, DIMs and DSMs herd in opposite directions, and FRMs herd in the same direction.
This study examines Bitcoin's transaction network and its impact on price dynamics.
problem Understanding the relationship between Bitcoin's transaction network and its price movements.
method Analysis of four different representations of Bitcoin's transaction network over nine years.
result Causal relationships exist between Bitcoin price movements and changes in its transaction network topology.
Privacy-preserving crypto exchanges adjust prices based on Gaussian noise.
problem Ensuring fair pricing in privacy-preserving cryptocurrency exchanges.
method Derive Kyle equilibrium with Gaussian noise perturbation, rescaling price-impact and strategy factors.
result Identify a privacy subsidy as a transfer from LP pool to traders, invariant to noise.
Study finds significant price declines and capital reallocation from centralized to decentralized exchanges after FTX collapse.
problem Quantifying trust dynamics and redistribution between centralized and decentralized exchanges.
method Interdisciplinary approach combining causal inference and computational text analysis.
result Significant price declines and capital reallocation from centralized to decentralized exchanges following the FTX collapse.
Cryptocurrencies show stable prices as a medium of exchange.
problem Price stability of cryptocurrencies as a medium of exchange.
method Filtered daily returns of major cryptocurrencies compared to major financial assets using Pearson correlations, dynamic time-warping method, and Black-Scholes model.
result Cryptocurrencies exhibit stable daily returns relative to major financial assets over the years 2016-2020.
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…
Kinetic models predict speculators' strategy can affect market prices.
problem Understanding how speculators' behavior affects market prices in a multi-agent exchange system.
method Developed kinetic equations to model interactions between dealers and speculators, using utility functions and mean quantities.
result Speculators' strategy can drive the price of goods towards a zone with marked utility for their group.
Expands method for pricing foreign exchange options under stochastic volatility and interest rates.
problem Approximating pricing of foreign exchange options with no exact formula.
method Directly expands the expectation value of payoff function with respect to the volatility of volatility, then uses it to price options in the stochastic volatility model.
result Shows numerically comparable results to Grzelak et al. (2012) using characteristic function approximation.