Pricing of Securities

Authors and titles for November 2024

[1] arXiv:2411.02520 [pdf, html, other]

Title: Short-maturity options on realized variance in local-stochastic volatility models

Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu

Comments: 46 pages, 2 figures, 1 table

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

[2] arXiv:2411.12375 [pdf, html, other]

Title: Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach

Liang Hou, Hao Yu, Guosong Xu

Comments: 6 pages, 6 figures

Subjects: Pricing of Securities (q-fin.PR); Mathematical Finance (q-fin.MF)

[3] arXiv:2411.16617 [pdf, html, other]

Title: Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates

Boris Ter-Avanesov, Gunter A. Meissner

Comments: 76 pages with 43 figures

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

[4] arXiv:2411.01121 (cross-list from cs.CE) [pdf, html, other]

Title: Hedging and Pricing Structured Products Featuring Multiple Underlying Assets

Anil Sharma, Freeman Chen, Jaesun Noh, Julio DeJesus, Mario Schlener

Comments: Workshop on Simulation of Financial Markets and Economic Systems

Journal-ref: 5th ACM International Conference on AI in Finance, 2024

Subjects: Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG); Pricing of Securities (q-fin.PR)

[5] arXiv:2411.05257 (cross-list from q-fin.CP) [pdf, html, other]

Title: Enforcing asymptotic behavior with DNNs for approximation and regression in finance

Hardik Routray, Bernhard Hientzsch

Comments: 24 Pages

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

[6] arXiv:2411.05425 (cross-list from q-fin.CP) [pdf, other]

Title: Multi-asset and generalised Local Volatility. An efficient implementation

Olivier Deloire, Louis Roth

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

[7] arXiv:2411.09659 (cross-list from q-fin.RM) [pdf, other]

Title: A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging

Xianhua Peng, Xiang Zhou, Bo Xiao, Yi Wu

Comments: 70 pages, 3 figures

Subjects: Risk Management (q-fin.RM); Pricing of Securities (q-fin.PR)

[8] arXiv:2411.10079 (cross-list from q-fin.CP) [pdf, html, other]

Title: Deep Hedging Bermudan Swaptions

Kenjiro Oya

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