BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
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DOI: 10.1080/00207160.2018.1544368
Abstract: ABSTRACT In the recent project BENCHOP – the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark… read more here.
Keywords: project; stochastic local; formulation; option pricing ... See more keywords
A stochastic local volatility technique for TARN options
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DOI: 10.1080/00207160.2019.1608357
Abstract: ABSTRACT Target Accumulation Redemption Notes (TARN) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this work, we solve… read more here.
Keywords: technique tarn; local volatility; stochastic local; volatility technique ... See more keywords
Stochastic Local Community Detection in Networks
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DOI: 10.3390/a16010022
Abstract: We propose a stochastic agglomerative algorithm to detect the local community of some given seed vertex/vertices in a network. Instead of giving a deterministic binary local community in the output, our method assigns every vertex… read more here.
Keywords: stochastic local; local community; community; detection networks ... See more keywords