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Pricing of Securities

Authors and titles for recent submissions

[ total of 7 entries: 1-7 ]
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Tue, 20 Feb 2018

[1]  arXiv:1802.06520 [pdf, other]
Title: Pricing Options with Exponential Levy Neural Network
Authors: Jeonggyu Huh
Comments: 18 pages, 8 figures, 2 tables
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)

Fri, 16 Feb 2018

[2]  arXiv:1802.05614 (cross-list from q-fin.MF) [pdf, ps, other]
Title: On the binomial approximation of the American put
Authors: Damien Lamberton (LAMA)
Subjects: Mathematical Finance (q-fin.MF); Probability (math.PR); Pricing of Securities (q-fin.PR)

Thu, 15 Feb 2018

[3]  arXiv:1802.04837 (cross-list from q-fin.MF) [pdf, other]
Title: Adapting the CVA model to Leland's framework
Comments: 20 pages, 17 figures
Subjects: Mathematical Finance (q-fin.MF); Analysis of PDEs (math.AP); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

Wed, 7 Feb 2018

[4]  arXiv:1802.01641 [pdf, other]
Title: Volatility options in rough volatility models
Comments: 29 pages, 34 figures
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

Tue, 6 Feb 2018

[5]  arXiv:1802.01556 [pdf, other]
Title: Game-Theoretic Capital Asset Pricing in Continuous Time
Comments: 10 pages
Subjects: Pricing of Securities (q-fin.PR)
[6]  arXiv:1802.01393 [pdf, ps, other]
Title: The Samuelson Effect and Seasonal Stochastic Volatility in Agricultural Futures Markets
Comments: 30 pages, 30 figures. arXiv admin note: text overlap with arXiv:1506.05911
Subjects: Pricing of Securities (q-fin.PR)
[7]  arXiv:1802.01307 [pdf, ps, other]
Title: Asian Option Pricing with Orthogonal Polynomials
Authors: Sander Willems
Comments: 25 pages, 4 figures, 1 table
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF)
[ total of 7 entries: 1-7 ]
[ showing up to 25 entries per page: fewer | more ]

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