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.
Study near-maturity convergence rates of American put prices in Lévy models.
We study the behavior of the critical price of an American put option near maturity in the exponential Lévy model when the underlying stock pays dividends at a continuous rate. In particular, we prove that, in situations where the limit of the critical price is equal to the stock price, the rate of convergence to the l…
We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the call and put pricing functions, and the implied volatilities. Unlike the well-known model-free behavior for extreme-strike asymptotics, small…
A new method for pricing exchange options under stochastic volatility and jumps.
Numerical method for pricing exchange options with stochastic volatility and jumps.