Working Paper |
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Abstract Views |
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12 months |
Total |
Last month |
3 months |
12 months |
Total |
A lognormal type stochastic volatility model with quadratic drift |
0 |
0 |
1 |
20 |
0 |
0 |
2 |
41 |
A model-free backward and forward nonlinear PDEs for implied volatility |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
16 |
ADOL - Markovian approximation of rough lognormal model |
0 |
0 |
0 |
14 |
1 |
1 |
1 |
36 |
An Expanded Local Variance Gamma model |
0 |
0 |
1 |
5 |
0 |
0 |
3 |
40 |
Bessel processes, the integral of geometric Brownian motion, and Asian options |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
103 |
Determining Optimal Trading Rules without Backtesting |
0 |
0 |
1 |
16 |
1 |
2 |
3 |
37 |
FX Options in Target Zone |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
58 |
Generalizing Geometric Brownian Motion |
1 |
1 |
2 |
15 |
2 |
3 |
6 |
42 |
Geometric Local Variance Gamma model |
0 |
0 |
2 |
3 |
1 |
1 |
4 |
29 |
Local Variance Gamma and Explicit Calibration to Option Prices |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
18 |
On the Hedging of Options On Exploding Exchange Rates |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
66 |
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited |
0 |
0 |
1 |
43 |
0 |
0 |
3 |
163 |
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1,371 |
Pricing Variance Swaps on Time-Changed Markov Processes |
0 |
0 |
1 |
8 |
0 |
0 |
2 |
16 |
Randomization and the American Put |
0 |
0 |
0 |
284 |
0 |
2 |
3 |
1,055 |
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
6 |
Robust replication of barrier-style claims on price and volatility |
0 |
0 |
0 |
5 |
1 |
1 |
1 |
18 |
Semi-analytical pricing of barrier options in the time-dependent Heston model |
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0 |
4 |
9 |
0 |
2 |
7 |
14 |
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models |
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0 |
0 |
2 |
0 |
0 |
3 |
16 |
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process |
0 |
0 |
2 |
6 |
1 |
1 |
4 |
19 |
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer |
0 |
0 |
2 |
4 |
0 |
1 |
3 |
29 |
Static Hedging of Standard Options |
1 |
1 |
1 |
1,226 |
2 |
4 |
13 |
3,649 |
Stochastic Skew in Currency Options |
0 |
0 |
0 |
528 |
0 |
0 |
2 |
1,634 |
Stochastic Volatility for Levy Processes |
0 |
0 |
0 |
5 |
1 |
1 |
2 |
44 |
The Finite Moment Log Stable Process and Option Pricing |
0 |
0 |
0 |
477 |
1 |
2 |
19 |
1,260 |
Time-Changed Levy Processes and Option Pricing |
0 |
0 |
3 |
1,203 |
0 |
0 |
12 |
2,461 |
Using Machine Learning to Predict Realized Variance |
0 |
1 |
2 |
59 |
0 |
1 |
7 |
67 |
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
92 |
Valuing Finite-Lived Options as Perpetual |
0 |
0 |
3 |
301 |
0 |
0 |
3 |
859 |
Variance Risk Premia |
0 |
0 |
0 |
551 |
0 |
0 |
4 |
1,385 |
What Type of Process Underlies Options? A Simple Robust Test |
2 |
2 |
2 |
329 |
2 |
2 |
4 |
721 |
Why are quadratic normal volatility models analytically tractable? |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
76 |
Total Working Papers |
4 |
5 |
28 |
5,245 |
13 |
24 |
118 |
15,441 |