Zobrazeno 1 - 10
of 3 769
pro vyhledávání: '"Quantitative Finance - Pricing of Securities"'
We study the dynamic pricing problem faced by a broker that buys and sells a large number of financial securities in the credit market, such as corporate bonds, government bonds, loans, and other credit-related securities. One challenge in pricing th
Externí odkaz:
http://arxiv.org/abs/2410.14839
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskless asset, and a European option. The two risky assets consist of a st
Externí odkaz:
http://arxiv.org/abs/2410.04748
Autor:
Sekine, Masashi
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer the risk pre
Externí odkaz:
http://arxiv.org/abs/2410.01352
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries if both mem
Externí odkaz:
http://arxiv.org/abs/2410.11849
Inspired by the recently proposed Kolmogorov-Arnold Networks (KANs), we introduce the KAN-based Option Pricing (KANOP) model to value American-style options, building on the conventional Least Square Monte Carlo (LSMC) algorithm. KANs, which are base
Externí odkaz:
http://arxiv.org/abs/2410.00419
Autor:
Arraut, Ivan
It was demonstrated previously that the stochastic volatility emerges as the gauge field necessary for restoring the local symmetry under changes of the prices of the stocks inside the Black-Scholes (BS) equation. When this occurs, then a Merton-Garm
Externí odkaz:
http://arxiv.org/abs/2410.00925
Autor:
Karbach, Sven
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a Heath-Jarrow-Morton-M
Externí odkaz:
http://arxiv.org/abs/2409.13070
The growth of the tech startup ecosystem in Latin America (LATAM) is driven by innovative entrepreneurs addressing market needs across various sectors. However, these startups encounter unique challenges and risks that require specific management app
Externí odkaz:
http://arxiv.org/abs/2410.03552
Autor:
Bichuch, Maxim, Feinstein, Zachary
Empirically, the prevailing market prices for liquidity tokens of the constant product market maker (CPMM) -- as offered in practice by companies such as Uniswap -- readily permit arbitrage opportunities by delta hedging the risk of the position. Her
Externí odkaz:
http://arxiv.org/abs/2409.11339
Autor:
Pirjol, Dan, Zhu, Lingjiong
We derive the short-maturity asymptotics for Asian option prices in local-stochastic volatility (LSV) models. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered. Using large deviations theory methods, the asymptotics for th
Externí odkaz:
http://arxiv.org/abs/2409.08377