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Found 4 papers, 0 papers with code
A General Approach for Lookback Option Pricing under Markov Models
We propose a very efficient method for pricing various types of lookback options under Markov models.
Data-driven Hedging of Stock Index Options via Deep Learning
We develop deep learning models to learn the hedge ratio for S&P500 index options directly from options data.
A General Approach for Parisian Stopping Times under Markov Processes
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes.
A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface
We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage.
