Pricing of Securities

Authors and titles for q-fin.PR in Jun 2023

[1]  arXiv:2306.09084 [pdf, other]

Title: Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion

Authors: Dan Pirjol, Lingjiong Zhu

Comments: 17 pages, 2 figures, 2 tables

Journal-ref: Operations Research Letters 2023, Volume 51, 346-352

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

[2]  arXiv:2306.11061 [pdf, other]

Title: Deep calibration with random grids

Authors: Fabio Baschetti (1), Giacomo Bormetti (2), Pietro Rossi (2 and 3) ((1) Scuola Normale Superiore, (2) University of Bologna, (3) Prometeia S.p.A.)

Comments: 38 pages, 22 figures, and 9 tables

Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)

[3]  arXiv:2306.12602 [pdf, other]

Title: Social Media Emotions and IPO Returns

Authors: Domonkos F. Vamossy

Subjects: Pricing of Securities (q-fin.PR)

[4]  arXiv:2306.12921 [pdf, ps, other]

Title: Generic Forward Curve Dynamics for Commodity Derivatives

Authors: David Xiao

Subjects: Pricing of Securities (q-fin.PR)

[5]  arXiv:2306.15026 [pdf, ps, other]

Title: Valuation of Equity Linked Securities with Guaranteed Return

Authors: David Xiao

Comments: 20 pages, 4 figures

Subjects: Pricing of Securities (q-fin.PR)

[6]  arXiv:2306.10929 (cross-list from math.PR) [pdf, ps, other]

Title: On some semi-parametric estimates for European option prices

Authors: Carlo Marinelli

Comments: 10 pages

Subjects: Probability (math.PR); Pricing of Securities (q-fin.PR)

[7]  arXiv:2306.11580 (cross-list from cs.CR) [pdf, other]

Title: The Pricing And Hedging Of Constant Function Market Makers

Authors: Richard Dewey, Craig Newbold

Subjects: Cryptography and Security (cs.CR); Pricing of Securities (q-fin.PR)

[8]  arXiv:2306.14004 (cross-list from econ.EM) [pdf, other]

Title: Latent Factor Analysis in Short Panels

Authors: Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet

Subjects: Econometrics (econ.EM); Pricing of Securities (q-fin.PR); Statistical Finance (q-fin.ST); Applications (stat.AP); Methodology (stat.ME)