p7q-fin.PR

Category

q-fin.PR

7 papers

Sig-SDEs model for quantitative finance

Imanol Perez Arribas, Cristopher Salvi, Lukasz Szpruch

2006.00218

Machine Learning for Pricing American Options in High-Dimensional Markovian and non-Markovian models

Ludovic Goudenège, Andrea Molent, Antonino Zanette

1905.09474

Pricing Reliability Options under different electricity prices' regimes

Luisa Andreis, Maria Flora, Fulvio Fontini, Tiziano Vargiolu

1909.05761

A Black-Scholes user's guide to the Bachelier model

Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee, Yumeng Wang

2104.08686

A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'

Jaehyuk Choi, Lixin Wu

2011.00557

Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options

Jaehyuk Choi

1805.03172

The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model

Jaehyuk Choi, Lixin Wu

1911.13123