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.
Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.
A new method uses deep learning to price barrier options.
Path integral method calculates barrier option prices.
New method tackles bilevel optimization with polyhedral constraints.
Unified pricing method for FX options with barriers.
Hamiltonian method applied to floating barrier options pricing.
This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on dividend-paying-stocks. Moreover, the barriers may be monitored either continuously or disc…
Paper applies subdiffusive dynamics to American and barrier options pricing.
We use Lie symmetry methods to price certain types of barrier options. Usually Lie symmetry methods cannot be used to solve the Black-Scholes equation for options because the function defining the maturity condition for an option is not smooth. However, for barrier options, this restriction can be accommodated and a sy…
Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and estimating the corresponding execution probabilities. We show that the proposed method always outperforms the standard Monte Carlo approach an…
Improved barrier option pricing in Heston model using COS-BEM method.
Deep learning solves barrier options with stochastic volatility.
Path integral method calculates PDBS option prices with time-dependent parameters.
Sequential Monte Carlo (SMC) methods have successfully been used in many applications in engineering, statistics and physics. However, these are seldom used in financial option pricing literature and practice. This paper presents SMC method for pricing barrier options with continuous and discrete monitoring of the barr…
IPMs struggle with hyperbolic spaces due to polynomially growing barrier parameters.
We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance reduction is achieved. W…
Bayesian method synthesizes barrier certificates for unknown systems with latent states.
New method for efficient pricing of double barrier options in Lévy models.
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter using quadratic optimal functional quantization. Some numerical tests are fulfi…
Efficient hybrid method for pricing barrier options with stochastic volatility.
New method for pricing barrier options in time-dependent λ-SABR model.
We propose an efficient lattice procedure which permits to obtain European and American option prices under the Black and Scholes model for digital options with barrier features. Numerical results show the accuracy of the proposed method.
The paper calculates prices for multi-step barrier options under the Black-Scholes model.
Derives semi-closed form prices for barrier options in the Hull-White model.
This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, w…
Paper extends Lévy models with memory to better price FX double barrier options.
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear programming problems. Subsequently approximating those systems by finite dimensional …
Improved MLMC method for barrier options with non-Lipschitz coefficients.
We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm uses the weak Euler approximation far from barriers and a special construction motivated by linear interpolation of the price near barriers. I…
Many problems in statistical learning, imaging, and computer vision involve the optimization of a non-convex objective function with singularities at the boundary of the feasible set. For such challenging instances, we develop a new interior-point technique building on the Hessian-barrier algorithm recently introduced …
Develops a new method for pricing barrier options in time-dependent Heston model.
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose …
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and Tan (2006) for the Heston model such that the first uniform variable does not influence the stochastic volatility path an…
REPAIR mitigates variance collapse to enable linear interpolation between SGD solutions.
A time-dependent double-barrier option is a derivative security that delivers the terminal value at expiry if neither of the continuous time-dependent barriers $b_\pm:[0,T]\to \RR_+$ have been hit during the time interval . Using a probabilistic approach we obtain a decomposition of the barrier opti…
This paper extends barrier option pricing to CIR and CEV models using semi-closed form solutions.
Barrier methods classify minimal submanifolds in hyperkaehler spaces.
This paper presents a new methodology to compute first-order Greeks for barrier options under the framework of path-dependent payoff functions with European, Lookback, or Asian type and with time-dependent trigger levels. In particular, we develop chain rules for Wiener path integrals between two curves that arise in t…
Study efficient pricing for barrier options in stochastic-volatility models with leverage correction.
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing metho…
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process…
We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relati…
Develops semi-closed form solutions for barrier and American options on time-dependent OU process.
The paper uses a Hamiltonian method to price barrier options under Vasicek interest rate model.
RHMC improves sampling polytopes defined by inequalities with barriers.
This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier option under a certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed by Kato, Takahashi and Yamada (2012). We also demonstrate the validity of our app…
Root's barrier is continuous and finite under certain conditions.
Fast method developed for pricing barrier options and joint Lévy process distributions.