Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
We continue a series of papers where prices of the barrier options written on the underlying,
which dynamics follows some one factor stochastic model with time-dependent coefficients …
which dynamics follows some one factor stochastic model with time-dependent coefficients …
[HTML][HTML] Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach
We investigate the risk control and dividend optimization problem of an insurance group in a
general setting and propose an innovative semi-analytical approach to the problem. The …
general setting and propose an innovative semi-analytical approach to the problem. The …
The return barrier and return timer option with pricing under Levy processes
JL Kirkby, JP Aguilar - Expert Systems with Applications, 2023 - Elsevier
This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …
return barrier option, which has emerged recently as a popular contract in the OTC markets …
Semi-analytical pricing of barrier options in the time-dependent Heston model
We develop the general integral transforms (GIT) method for pricing barrier options in the
time-dependent Heston model (also with a time-dependent barrier) where the option price is …
time-dependent Heston model (also with a time-dependent barrier) where the option price is …
Multilayer heat equations: application to finance
In this paper, we develop a Multilayer (ML) method for solving one-factor parabolic
equations. Our approach provides a powerful alternative to the well-known finite difference …
equations. Our approach provides a powerful alternative to the well-known finite difference …
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
A Itkin, D Muravey - arXiv preprint arXiv:2009.09342, 2020 - arxiv.org
We continue a series of papers devoted to construction of semi-analytic solutions for barrier
options. These options are written on underlying following some simple one-factor diffusion …
options. These options are written on underlying following some simple one-factor diffusion …
American options in time-dependent one-factor models: Semi-analytic pricing, numerical methods and ML support
A Itkin, D Muravey - arXiv preprint arXiv:2307.13870, 2023 - arxiv.org
Semi-analytical pricing of American options in a time-dependent Ornstein-Uhlenbeck model
was presented in [Carr, Itkin, 2020]. It was shown that to obtain these prices one needs to …
was presented in [Carr, Itkin, 2020]. It was shown that to obtain these prices one needs to …
[BOOK][B] Generalized integral transforms in mathematical finance
This book describes several techniques, first invented in physics for solving problems of heat
and mass transfer, and applies them to various problems of mathematical finance defined in …
and mass transfer, and applies them to various problems of mathematical finance defined in …
[HTML][HTML] Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods
Calibration of multidimensional economic problems proven to be difficult, as there is a high
risk of problem miss-identification. In this paper we propose a multi-stage calibration method …
risk of problem miss-identification. In this paper we propose a multi-stage calibration method …
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy
In this paper, we argue that some of the most popular short-term interest models have to be
revisited and modified to reflect current market conditions better. In particular, we propose a …
revisited and modified to reflect current market conditions better. In particular, we propose a …