no code implementations • 7 Nov 2022 • Leonardo Perotti, Lech A. Grzelak
We propose a new, data-driven approach for efficient pricing of - fixed- and float-strike - discrete arithmetic Asian and Lookback options when the underlying process is driven by the Heston model dynamics.
no code implementations • 27 Nov 2021 • Leonardo Perotti, Lech A. Grzelak
We propose a methodology to sample from time-integrated stochastic bridges, namely random variables defined as $\int_{t_1}^{t_2} f(Y(t))dt$ conditioned on $Y(t_1)\!=\! a$ and $Y(t_2)\!=\! b$, with $a, b\in R$.
