Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …
novel and efficient transform method to price Asian options for very general asset dynamics …
Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
We derive the short-maturity asymptotics for European and VIX option prices in local-
stochastic volatility models where the volatility follows a continuous-path Markov process …
stochastic volatility models where the volatility follows a continuous-path Markov process …
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
We present an asymptotic result for the Laplace transform of the time integral of the
geometric Brownian motion F (θ, T)= E [e− θ XT] with XT=∫ 0 T e σ W s+(a− 1 2 σ 2) sds …
geometric Brownian motion F (θ, T)= E [e− θ XT] with XT=∫ 0 T e σ W s+(a− 1 2 σ 2) sds …
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
The time average of geometric Brownian motion plays a crucial role in the pricing of Asian
options in mathematical finance. In this paper we consider the asymptotics of the discrete …
options in mathematical finance. In this paper we consider the asymptotics of the discrete …
Short maturity Asian options for the CEV model
We present a rigorous study of the short maturity asymptotics for Asian options with
continuous-time averaging, under the assumption that the underlying asset follows the …
continuous-time averaging, under the assumption that the underlying asset follows the …
Asymptotics for volatility derivatives in multi-factor rough volatility models
C Lacombe, A Muguruza, H Stone - Mathematics and financial economics, 2021 - Springer
We study the small-time implied volatility smile for Realised Variance options, and
investigate the effect of correlation in multi-factor models on the linearity of the smile. We …
investigate the effect of correlation in multi-factor models on the linearity of the smile. We …
An efficient and stable method for short maturity Asian options
In this paper, we develop a Markov chain‐based approximation method to price arithmetic
Asian options for short maturities under the case of geometric Brownian motion. It has the …
Asian options for short maturities under the case of geometric Brownian motion. It has the …
Stochastic approximations for financial risk computations
F Bourgey - 2020 - theses.hal.science
In this thesis, we investigate several stochastic approximation methods for both the
computation of financial risk measures and the pricing of derivatives. As closed-form …
computation of financial risk measures and the pricing of derivatives. As closed-form …
A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
We adapt and extend Yosida's parametrix method, originally introduced for the construction
of the fundamental solution to a parabolic operator on a Riemannian manifold, to derive …
of the fundamental solution to a parabolic operator on a Riemannian manifold, to derive …
On the implied volatility of Asian options under stochastic volatility models
In this paper, we study the short-time behaviour of the at-the-money implied volatility for
arithmetic Asian options with fixed strike price. The asset price is assumed to follow the …
arithmetic Asian options with fixed strike price. The asset price is assumed to follow the …