arXiv - QuantFin - Pricing of Securities最新文献_第8页

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-09-11 DOI: arxiv-2309.05560

Paul Glasserman, Harry Mamaysky, Jimmy Qin

引用次数: 0

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model Heston-Hawkes随机波动率模型中单位挂钩政策的Thiele PIDE

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-09-07 DOI: arxiv-2309.03541

David R. Baños, Salvador Ortiz-Latorre, Oriol Zamora Font

引用次数: 0

Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping 采用高阶紧凑格式和自适应时间步进，提高了求解美国CEV模型的精度

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-09-07 DOI: arxiv-2309.03984

Chinonso Nwankwo, Weizhong Dai, Tony Ware

{"title":"Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping","authors":"Chinonso Nwankwo, Weizhong Dai, Tony Ware","doi":"arxiv-2309.03984","DOIUrl":"https://doi.org/arxiv-2309.03984","url":null,"abstract":"In this research work, we propose a high-order time adapted scheme for\u0000pricing a coupled system of fixed-free boundary constant elasticity of variance\u0000(CEV) model on both equidistant and locally refined space-grid. The performance\u0000of our method is substantially enhanced to improve irregularities in the model\u0000which are both inherent and induced. Furthermore, the system of coupled PDEs is\u0000strongly nonlinear and involves several time-dependent coefficients that\u0000include the first-order derivative of the early exercise boundary. These\u0000coefficients are approximated from a fourth-order analytical approximation\u0000which is derived using a regularized square-root function. The semi-discrete\u0000equation for the option value and delta sensitivity is obtained from a\u0000non-uniform fourth-order compact finite difference scheme. Fifth-order 5(4)\u0000Dormand-Prince time integration method is used to solve the coupled system of\u0000discrete equations. Enhancing the performance of our proposed method with local\u0000mesh refinement and adaptive strategies enables us to obtain highly accurate\u0000solution with very coarse space grids, hence reducing computational runtime\u0000substantially. We further verify the performance of our methodology as compared\u0000with some of the well-known and better-performing existing methods.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522565","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Default Process Modeling and Credit Valuation Adjustment 违约过程建模与信用评估调整

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-09-06 DOI: arxiv-2309.03311

David Xiao

引用次数: 0

Asymptotics for Short Maturity Asian Options in a Jump-Diffusion model with Local Volatility 具有局部波动率的跳跃-扩散模型下短期限亚洲期权的渐近性

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-08-30 DOI: arxiv-2308.15672

Dan Pirjol, Lingjiong Zhu

引用次数: 0

An Empirical Analysis on Financial Market: Insights from the Application of Statistical Physics 金融市场的实证分析:来自统计物理应用的启示

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-08-28 DOI: arxiv-2308.14235

Haochen Li, Yi Cao, Maria Polukarov, Carmine Ventre

引用次数: 0

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing 或有债权函数生成的投资组合及其在期权定价中的应用

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-08-26 DOI: arxiv-2308.13717

Ricardo T. Fernholz, Robert Fernholz

引用次数: 0

Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions 经济复杂性限制了高斯分布预测价格概率的准确性

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-08-24 DOI: arxiv-2309.02447

Victor Olkhov

{"title":"Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions","authors":"Victor Olkhov","doi":"arxiv-2309.02447","DOIUrl":"https://doi.org/arxiv-2309.02447","url":null,"abstract":"The accuracy of predictions of price and return probabilities substantially\u0000determines the reliability of asset pricing and portfolio theories. We develop\u0000successive approximations that link up predictions of the market-based\u0000probabilities of price and return for the whole stock market with predictions\u0000of price and return probabilities for stocks of a particular company and show\u0000that economic complexity limits the accuracy of any forecasts. The economic\u0000origin of the restrictions lies in the fact that the predictions of the m-th\u0000statistical moments of price and return require descriptions of the economic\u0000variables composed by sums of the m-th powers of economic or market\u0000transactions during an averaging time interval. The attempts to predict the\u0000n-th statistical moments of price and return of stocks that are under the\u0000action of a single risk result in estimates of the n-dimensional risk rating\u0000vectors for economic agents. In turn, the risk rating vectors play the role of\u0000coordinates for the description of the evolution of economic variables. The\u0000lack of a model description of the economic variables composed by sums of the\u00002-d and higher powers of market transactions causes that, in the coming years,\u0000the accuracy of the forecasts will be limited at best by the first two\u0000statistical moments of price and return, which determine Gaussian\u0000distributions. One can ignore existing barriers and limits but cannot overcome\u0000or resolve them. That significantly reduces the reliability and veracity of\u0000modern asset pricing and portfolio theories. Our results could be essential and\u0000fruitful for the largest investors and banks, economic and financial\u0000authorities, and market participants.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522557","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Pragmatic Comparison Analysis of Alternative Option Pricing Models 备选期权定价模型的实用比较分析

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-08-23 DOI: arxiv-2309.09890

Natasha Latif, Shafqat Ali Shad, Muhammad Usman, Chandan Kumar, Bahman B Motii, MD Mahfuzer Rahman, Khuram Shafi, Zahra Idrees

{"title":"Pragmatic Comparison Analysis of Alternative Option Pricing Models","authors":"Natasha Latif, Shafqat Ali Shad, Muhammad Usman, Chandan Kumar, Bahman B Motii, MD Mahfuzer Rahman, Khuram Shafi, Zahra Idrees","doi":"arxiv-2309.09890","DOIUrl":"https://doi.org/arxiv-2309.09890","url":null,"abstract":"In this paper, we price European Call three different option pricing models,\u0000where the volatility is dynamically changing i.e. non constant. In stochastic\u0000volatility (SV) models for option pricing a closed form approximation technique\u0000is used, indicating that these models are computationally efficient and have\u0000the same level of performance as existing ones. We show that the calibration of\u0000SV models, such as Heston model and the High Order Moment based Stochastic\u0000Volatility (MSV) is often faster and easier. On 15 different datasets of index\u0000options, we show that models which incorporates stochastic volatility achieves\u0000accuracy comparable with the existing models. Further, we compare the In Sample\u0000and Out Sample pricing errors of each model on each date. Lastly, the pricing\u0000of models is compared among three different market to check model performance\u0000in different markets. Keywords: Option Pricing Model, Simulations, Index\u0000Options, Stochastic Volatility Models, Loss Function\u0000http://www.sci-int.com/pdf/638279543859822650.pdf","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522554","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Analytical valuation of vulnerable derivative contracts with bilateral cash flows under credit, funding and wrong-way risks 信贷、融资和错误路径风险下双边现金流的脆弱衍生品合约分析估值

arXiv - QuantFin - Pricing of Securities Pub Date : 2023-08-21 DOI: arxiv-2308.10568

Juan Jose Francisco Miguelez, Cristin Buescu

{"title":"Analytical valuation of vulnerable derivative contracts with bilateral cash flows under credit, funding and wrong-way risks","authors":"Juan Jose Francisco Miguelez, Cristin Buescu","doi":"arxiv-2308.10568","DOIUrl":"https://doi.org/arxiv-2308.10568","url":null,"abstract":"We study the problem of valuing a vulnerable derivative with bilateral cash\u0000flows between two counterparties in the presence of funding, credit and\u0000wrong-way risks, and derive a closed-form valuation formula for an at-the-money\u0000(ATM) forward contract as well as a second order approximation for the general\u0000case. We posit a model with heterogeneous interest rates and default occurrence\u0000and infer a Cauchy problem for the pre-default valuation function of the\u0000contract, which includes ab initio any counterparty risk - as opposed to\u0000calculating valuation adjustments collectively known as XVA. Under a specific\u0000funding policy which linearises the Cauchy problem, we obtain a generic\u0000probabilistic representation for the pre-default valuation (Theorem 1). We\u0000apply this general framework to the valuation of an equity forward and\u0000establish the contract can be expressed as a continuous portfolio of European\u0000options with suitably chosen strikes and expiries under a particular\u0000probability measure (Theorem 2). Our valuation formula admits a closed-form\u0000expression when the forward contract is ATM (Corollary 2) and we derive a\u0000second order approximation in moneyness when the contract is close to ATM\u0000(Theorem 3). Numerical results of our model show that the forward is more\u0000sensitive to funding factors than credit ones, while higher stock funding costs\u0000increase sensitivity to credit spreads and wrong-way risk.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138522569","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0