Formal verification meets stochastic analysis
F Cosentino - 2021 - ora.ox.ac.uk
The thesis goal is to explore the relations between Formal Verification techniques in
Computer Science and Stochastic Analysis in Mathematics. They both deal with probabilistic …
Computer Science and Stochastic Analysis in Mathematics. They both deal with probabilistic …
Markov chain approximations to stochastic differential equations by recombination on lattice trees
We revisit the classical problem of approximating a stochastic differential equation by a
discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's …
discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's …
[HTML][HTML] How much do negative probabilities matter in option pricing?: A case of a lattice-based approach for stochastic volatility models
In this paper, we focus on two-factor lattices for general diffusion processes with state-
dependent volatilities. Although it is common knowledge that branching probabilities must …
dependent volatilities. Although it is common knowledge that branching probabilities must …
[PDF][PDF] Pricing variance, gamma and corridor swaps using multinomial trees
H Zhaoab, Z Zhaoab, R Chatterjeea, T Lonona… - 2019 - researchgate.net
This article introduces a new methodology to approximate the prices of variance, gamma
and corridor swaps in a stochastic volatility framework applicable to any given tree structure …
and corridor swaps in a stochastic volatility framework applicable to any given tree structure …
A flexible lattice model for pricing contingent claims under multiple risk factors
E Russo, A Staino - Journal of Derivatives, 2018 - search.proquest.com
The original binomial model is an easy-to-apply approximation procedure for valuing
options under Black-Scholes assumptions. There is a single stochastic factor and the …
options under Black-Scholes assumptions. There is a single stochastic factor and the …
Compound option pricing under stochastic volatility
A Leccadito, E Russo - International Journal of Financial …, 2016 - inderscienceonline.com
The paper proposes a flexible and computationally efficient lattice-based approximation for
evaluating European and American compound options under stochastic volatility models. In …
evaluating European and American compound options under stochastic volatility models. In …
On pricing Asian options under stochastic volatility
E Russo, A Staino - Journal of Derivatives, 2016 - search.proquest.com
American exercise presents difficulties for option valuation. For an in-the-money option, it
becomes necessary at each point in time to consider whether to exercise or to hold on …
becomes necessary at each point in time to consider whether to exercise or to hold on …
A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic volatility
E Russo, A Staino - International Journal of Theoretical and Applied …, 2018 - World Scientific
We propose a flexible lattice model for pricing bonds and interest-sensitive claims under
stochastic volatility, which is able to accommodate different dynamics specifications, and …
stochastic volatility, which is able to accommodate different dynamics specifications, and …
[PDF][PDF] Pricing bermudan variance swaptions using multinomial trees
In a recent study, Zhao et al.[2017a] presents a tree methodology to evaluate the expected
generalized realized variance in a general stochastic volatility model. This provides an …
generalized realized variance in a general stochastic volatility model. This provides an …
[CITATION][C] Embedded surrender option pricing for equity-linked policies: comparisons and solutions for bivariate models
AL Martire - 2012 - iris.uniroma1.it
Embedded surrender option pricing for equity-linked policies: comparisons and solutions for
bivariate models IRIS IRIS Home Sfoglia Macrotipologie & tipologie Autore Titolo Riviste Serie …
bivariate models IRIS IRIS Home Sfoglia Macrotipologie & tipologie Autore Titolo Riviste Serie …