Zobrazeno 1 - 10
of 285
pro vyhledávání: '"Zhu, Lingjiong"'
We derive the short-maturity asymptotics for prices of options on realized variance in local-stochastic volatility models. We consider separately the short-maturity asymptotics for out-of-the-money and in-the-money options cases. The analysis for the
Externí odkaz:
http://arxiv.org/abs/2411.02520
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
We derive the short-maturity asymptotics for European and VIX option prices in local-stochastic volatility models where the volatility follows a continuous-path Markov process. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are consid
Externí odkaz:
http://arxiv.org/abs/2407.16813
Injecting heavy-tailed noise to the iterates of stochastic gradient descent (SGD) has received increasing attention over the past few years. While various theoretical properties of the resulting algorithm have been analyzed mainly from learning theor
Externí odkaz:
http://arxiv.org/abs/2403.02051
Autor:
Pirjol, Dan, Zhu, Lingjiong
Publikováno v:
International Journal of Theoretical and Applied Finance 2023, Volume 26, 2350023
We derive the short-maturity asymptotics for option prices in the local volatility model in a new short-maturity limit $T\to 0$ at fixed $\rho = (r-q) T$, where $r$ is the interest rate and $q$ is the dividend yield. In cases of practical relevance $
Externí odkaz:
http://arxiv.org/abs/2402.14161
Autor:
Dang, Thanh, Zhu, Lingjiong
We study Euler-Maruyama numerical schemes of stochastic differential equations driven by stable L\'{e}vy processes with i.i.d. stable components. We obtain a uniform-in-time approximation error in Wasserstein distance. Our approximation error has a l
Externí odkaz:
http://arxiv.org/abs/2402.12502
Transformer-based models have dominated natural language processing and other areas in the last few years due to their superior (zero-shot) performance on benchmark datasets. However, these models are poorly understood due to their complexity and siz
Externí odkaz:
http://arxiv.org/abs/2402.08473
Autor:
Gao, Xuefeng, Zhu, Lingjiong
Score-based generative modeling with probability flow ordinary differential equations (ODEs) has achieved remarkable success in a variety of applications. While various fast ODE-based samplers have been proposed in the literature and employed in prac
Externí odkaz:
http://arxiv.org/abs/2401.17958
Score-based generative models (SGMs) is a recent class of deep generative models with state-of-the-art performance in many applications. In this paper, we establish convergence guarantees for a general class of SGMs in 2-Wasserstein distance, assumin
Externí odkaz:
http://arxiv.org/abs/2311.11003
Autor:
Pirjol, Dan, Zhu, Lingjiong
Publikováno v:
Quantitative Finance 2024, Vol. 24, Nos. 3-4, 433-449
We present a study of the short maturity asymptotics for Asian options in a jump-diffusion model with a local volatility component, where the jumps are modeled as a compound Poisson process. The analysis for out-of-the-money Asian options is extended
Externí odkaz:
http://arxiv.org/abs/2308.15672