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Pricing of Securities

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
[ showing up to 10 entries per page: fewer | more ]

Tue, 7 May 2024

[1]  arXiv:2405.02919 (cross-list from q-fin.MF) [pdf, ps, other]
Title: Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference
Authors: Agni Rakshit, Gautam Bandyopadhyay, Tanujit Chakraborty
Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

Mon, 6 May 2024

[2]  arXiv:2405.02170 (cross-list from q-fin.MF) [pdf, other]
Title: Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
Authors: Eduardo Abi Jaber, Shaun (Xiaoyuan)Li, Xuyang Lin
Comments: 41 pages, 8 figures
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

Fri, 3 May 2024

[3]  arXiv:2405.01479 [pdf, other]
Title: On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models
Authors: Eric Ghysels, Jack Morgan
Comments: 51 pages, 4 figures
Subjects: Pricing of Securities (q-fin.PR); Quantum Physics (quant-ph)
[4]  arXiv:2405.00697 (cross-list from q-fin.CP) [pdf, other]
Title: Pricing Catastrophe Bonds -- A Probabilistic Machine Learning Approach
Authors: Xiaowei Chen, Hong Li, Yufan Lu, Rui Zhou
Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Pricing of Securities (q-fin.PR); Applications (stat.AP)

Thu, 2 May 2024

[5]  arXiv:2405.00473 [pdf, other]
Title: Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
Authors: Ayub Ahmadi, Mahdieh Tahmasebi
Comments: 5 fingures. 1 table
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

Fri, 26 Apr 2024

[6]  arXiv:2404.16295 (cross-list from q-fin.MF) [pdf, other]
Title: Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models
Authors: Liexin Cheng, Xue Cheng, Xianhua Peng
Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)
[ total of 6 entries: 1-6 ]
[ showing up to 10 entries per page: fewer | more ]

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