arXiv research

New quantum code breaks distance barrier with transversal non-Clifford gates.

New method beats volumetric barrier for manifold recovery.

Study shows distance to boundary is always attained on varifolds with bounded curvature.

We show that, on a smooth riemannian manifold, the laplacian of the distance function to a point $b$ is $-\infty$ in the sense of barriers, at every point of the cut locus with respect to $b$.

Barrier methods classify minimal submanifolds in hyperkaehler spaces.

We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some constant. The utility function destroys the linearity and the time homogeneity of …

In this paper we discuss a credit risk model with a pure jump Lévy process for the asset value and an unobservable random barrier. The default time is the first time when the asset value falls below the barrier. Using the indistinguishability of the intensity process and the likelihood process, we prove the existence o…

Interior-point methods adapted for manifolds, achieving similar optimization results.

The paper calculates prices for multi-step barrier options under the Black-Scholes model.

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…

A new method uses deep learning to price barrier options.

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 …

A time-dependent double-barrier option is a derivative security that delivers the terminal value $φ(S_T)$ at expiry $T$ if neither of the continuous time-dependent barriers $b_\pm:[0,T]\to \RR_+$ have been hit during the time interval $[0,T]$. Using a probabilistic approach we obtain a decomposition of the barrier opti…

We present a criterion for the stochastic completeness of a submanifold in terms of its distance to a hypersurface in the ambient space. This relies in a suitable version of the Hessian comparison theorem. In the sequel we apply a comparison principle with geometric barriers for establishing mean curvature estimates fo…

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…

Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.

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…

Hamiltonian method applied to floating barrier options pricing.

The paper extends Gluck and Warner's result on fibrations of spheres by great subspheres.

SMILE improves explainability of machine learning models.

Deep learning solves barrier options with stochastic volatility.

New method tackles bilevel optimization with polyhedral constraints.

Unified pricing method for FX options with barriers.

Root's barrier is continuous and finite under certain conditions.

Topological theory for qLDPC codes enables non-Clifford gates and magic state injection.

Path integral method calculates barrier option prices.

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…

A new method generates natural-looking adversarial examples by bounding internal activation values.

Research provides explicit NPV expressions for double barrier strategies.

New symplectic barriers found in ball embeddings.

Detecting adversarial examples is as hard as classifying them.

Paper applies subdiffusive dynamics to American and barrier options pricing.

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…

Study shows private learning of mixtures of Gaussians is possible with polynomial samples.

We consider the mean curvature flow of compact convex surfaces in Euclidean $3$-space with free boundary lying on an arbitrary convex barrier surface with bounded geometry. When the initial surface is sufficiently convex, depending only on the geometry of the barrier, the flow contracts the surface to a point in finite…

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…

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…

We say that a topologically embedded 3-sphere in a smoothing of Euclidean 4-space is a barrier provided, roughly, no diffeomorphism of the 4-manifold moves the 3-sphere off itself. In this paper we construct infinitely many one parameter families of distinct smoothings of 4-space with barrier 3-spheres. \par The existe…

We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models. This provides a Dupire-type formula for the coefficient derived by Brunick and Shreve for their mimicking diffusion and can be interpreted …

This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is extended such that their valuation is now possible at any point during their life…

New formulas for barrier options in stochastic volatility models with nonzero correlation.

Bayesian method synthesizes barrier certificates for unknown systems with latent states.

Study short-term behavior of up-and-in barrier options using Malliavin calculus.

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…

We use the Gromov-Witten invariants and a nonsqueezing theorem by the author to affirm a conjecture by P.Biran on the Lagrangian barriers.

Study efficient pricing for barrier options in stochastic-volatility models with leverage correction.

Refines d'Alembertian for signed Lorentz distance functions in metric measure spacetimes.

We show how to price and replicate a variety of barrier-style claims written on the $\log$ price $X$ and quadratic variation $\langle X \rangle$ of a risky asset. Our framework assumes no arbitrage, frictionless markets and zero interest rates. We model the risky asset as a strictly positive continuous semimartingale w…