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.
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 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.
Paper presents a novel nonparametric method to price Asian options.
The paper extends the market price of risk for electricity swap contracts, incorporating jump risk.
Taking advantage of the recent litterature on exact simulation algorithms (Beskos, Papaspiliopoulos and Roberts) and unbiased estimation of the expectation of certain fonctional integrals (Wagner, Beskos et al. and Fearnhead et al.), we apply an exact simulation based technique for pricing continuous arithmetic average…
In this paper, a standard PDE for the pricing of arithmetic average strike Asian call option is presented. A Crank-Nicolson Implicit Method and a Higher Order Compact finite difference scheme for this pricing problem is derived. Both these schemes were implemented for various values of risk free rate and volatility. Th…
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…
The paper introduces new methods for Asian option pricing using Laguerre quadrature.
Closed-form pricing method for multi-asset options.
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A path-integral-type expression for option prices is obtained using a Brownian bridge representa…
Study integrates ESG factors into home price predictions for U.S. cities.
This note justifies approximations of arithmetic forwards using weighted averages of overnight forwards.
This paper surveys options pricing under arithmetic Brownian motion and derives formulas for various types of options.
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 …
The paper provides approximations for pricing Asian options using a mixed fractional Brownian motion with jumps.
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…
Recursive Feature Machines show grokking in modular arithmetic without neural networks.
Averaging problems are ubiquitous in Finance with the valuation of the so-called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numerical work on them, and their stochastic structure has been extensively studied by Yor and his school. However, the analytical structure of t…
A new method for averaging data on manifolds is proposed, offering simplicity and efficiency.
New arithmetic phenomenon 'murmurations' detected using AI.
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…
Paper develops new conformal prediction methods for sum or average of unknown labels.
Stock prediction is a topic undergoing intense study for many years. Finance experts and mathematicians have been working on a way to predict the future stock price so as to decide to buy the stock or sell it to make profit. Stock experts or economists, usually analyze on the previous stock values using technical indic…
Quantum Signal Processing reduces derivative pricing quantum resource requirements.
The paper addresses numerical integration issues in SV models, proposing a fast regime switching algorithm.
The study counts Salem numbers linked to arithmetic hyperbolic orbifolds.
Convolutional neural networks (CNNs) have achieved remarkable performance in many applications, especially in image recognition tasks. As a crucial component of CNNs, sub-sampling plays an important role for efficient training or invariance property, and max-pooling and arithmetic average-pooling are commonly used sub-…
We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening and closing prices to estimate the volatility of the stock price. The daily price jump at the opening is considered to be the result of the unobserved evolution of an after-hours virtual tradin…
The paper modifies asset pricing models using Taylor series expansions and market-based averages.
This is a sequel to the paper [Cas]. Here, we extend the methods of Farb-Wolfson using the theory of FI_G-modules to obtain stability of equivariant Galois representations of the etale cohomology of orbit configuration spaces. We establish subexponential bounds on the growth of unstable cohomology, and then use the Gro…
Paper tackles division difficulty, proposing new methods to improve accuracy.
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as general stock price formuli in closed forms which are able to generate a variety…
Study topological Iwasawa invariants for 3-sphere links, proving density results.
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 …
The paper explores how market trade values and volumes affect price and return statistics.
We continue the study of a general class of spaces of 0-cycles on a manifold defined and begun by Farb-Wolfson-Wood. Using work of Gadish on linear subspace arrangements, we obtain representation stability for the cohomology of the ordered version of these spaces. We establish subexponential bounds on the growth of uns…
ThiopheneIV is a new solver for implied volatility with proven monotonicity.
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…
The private car license plates issued in Shanghai are bestowed the title of "the most expensive sheet iron all over the world", more expensive than gold. A citizen has to bid in an monthly auction to obtain a license plate for his new private car. We perform statistical analysis to investigate the influence of the mini…
Constructing accurate and automatic solvers of math word problems has proven to be quite challenging. Prior attempts using machine learning have been trained on corpora specific to math word problems to produce arithmetic expressions in infix notation before answer computation. We find that custom-built neural networks…
In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced by Dufresne to computing the negative moments of Yor's accumulation processes. For these he has given functional recursion rules whose probabilistic structure has been the object of intensive recent studies of Yor an…
Paper uses LSTM neural networks to forecast commodity prices.
Measures price impact in order-driven markets without relying on averages.
SQR Averaging improves probabilistic electricity price forecasting.
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a fin…
A number of approaches to solving the well-known transfer pricing problem are known. However, few models satisfactorily resolve the core problem of allowing both the source and receiving divisions to earn a profit on transfers during a period in such a way that sub-optimal output levels are avoided. In 1969, Samuel pro…
Generative model prices basket options efficiently.
We briefly review our recent studies on stochastic processes modelling internet on-line trading. We present a way to evaluate the average waiting time between the observation of the price in financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers v…