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Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a L\'evy equity market environment by incorporating a stochastic interest rate described by the Hull-White model.
Backward Hedging for American Options with Transaction Costs
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs.
Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem
Evaluating moving average options is a tough computational challenge for the energy and commodity market as the payoff of the option depends on the prices of a certain underlying observed on a moving window so, when a long window is considered, the pricing problem becomes high dimensional.
Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises
Both the space-time colored noise and the space-time white noise are considered.
Analysis of PDEs Numerical Analysis Numerical Analysis Probability
Machine Learning for Pricing American Options in High-Dimensional Markovian and non-Markovian models
The two methods mainly differ in the approach used to compute the continuation value: a single step of binomial tree or integration according to the probability density of the process.
