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.
Efficiently calibrates Heston model with time-varying parameters for financial derivatives.
The paper calculates prices for multi-step barrier options under the Black-Scholes model.
Hamiltonian method applied to floating barrier options pricing.
Path integral method calculates barrier option prices.
New method improves barrier option pricing for high volatility assets.
Deep learning solves barrier options with stochastic volatility.
Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.
Unified pricing method for FX options with barriers.
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…
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…
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 …
Paper applies subdiffusive dynamics to American and barrier options pricing.
Path integral method calculates PDBS option prices with time-dependent parameters.
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 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…
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 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…
New formulas for barrier options in stochastic volatility models with nonzero correlation.
New Monte Carlo method for calculating sensitivities of barrier options.
Analytical model prices options with moving barriers under non-Gaussian distributions.
A new method uses deep learning to price barrier options.
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…
Paper approximates first passage time for tempered stable process for option pricing.
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black--Scholes (BS) market converge to the corresponding quantities for similar game barrier options in the BS market with path dependent payoffs and the speed of convergence is estimated, as well. …
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.
Study short-term behavior of up-and-in barrier options using Malliavin calculus.
The paper uses a Hamiltonian method to price barrier options under Vasicek interest rate 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…
Deep learning solves PDEs with boundary conditions for barrier options.
Efficient hybrid method for pricing barrier options with stochastic volatility.
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…
Develops semi-closed form solutions for barrier and American options on time-dependent OU process.
Improved barrier option pricing in Heston model using COS-BEM method.
It turns out that in the bivariate Black-Scholes economy Margrabe type options exhibit symmetry properties leading to semi-static hedges of rather general barrier options. Some of the results are extended to variants obtained by means of Brownian subordination. In order to increase the liquidity of the hedging instrume…
Paper extends Lévy models with memory to better price FX double barrier options.
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 …
New method calculates credit exposures for complex options efficiently.
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 …
The paper prices long-term options with a reflecting barrier model.
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…
Derives semi-closed form prices for barrier options in the Hull-White model.
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…
New method for efficient pricing of double barrier options in Lévy models.
Paper develops a new method for pricing complex financial options.
A fast numerical method for pricing double barrier options using Lagrange interpolation.
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…
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler type of option. This problem is meaningful in the real world where option prices are always determined within a certain l…
Fast method developed for pricing barrier options and joint Lévy process distributions.