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   Articles with "pricing hedging" as a keyword



An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes

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recommendations! Published in 2019 at "Quantitative Finance"

DOI: 10.1080/14697688.2020.1736322

Abstract: This paper extends the singular Fourier–Padé (SFP) method proposed by Chan [Singular Fourier–Padé series expansion of European option prices. Quant. Finance, 2018, 18, 1149–1171] for pricing/hedging early-exercise options–Bermudan, American and discrete-monitored barrier options–under a Lévy… read more here.

Keywords: pricing hedging; method; finance; sfp fcc ... See more keywords

Efficient pricing and hedging of high-dimensional American options using deep recurrent networks

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recommendations! Published in 2023 at "Quantitative Finance"

DOI: 10.1080/14697688.2023.2167666

Abstract: We propose a deep recurrent neural network (RNN) framework for computing prices and deltas of American options in high dimensions. Our proposed framework uses two deep RNNs, where one network learns the continuation price and… read more here.

Keywords: efficient pricing; pricing hedging; american options; framework ... See more keywords

Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model

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recommendations! Published in 2019 at "Risks"

DOI: 10.3390/risks7020036

Abstract: We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed. read more here.

Keywords: pricing hedging; model; simple formulas; hedging european ... See more keywords

Symmetry Analysis of a Model of Option Pricing and Hedging

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recommendations! Published in 2022 at "Symmetry"

DOI: 10.3390/sym14091841

Abstract: The Guéant and Pu model of option pricing and hedging, which takes into account transaction costs, and the impact of operations on the market is studied by group analysis methods. The infinite-dimensional continuous group of… read more here.

Keywords: option pricing; pricing hedging; model option; model ... See more keywords