Pricing path-dependent options under stochastic volatility via Mellin transform
In this paper, we derive closed-form formulas of first-order approximation for down-and-out
barrier and floating strike lookback put option prices under a stochastic volatility model using …
barrier and floating strike lookback put option prices under a stochastic volatility model using …
[PDF][PDF] Leveraging Machine Learning and Deep Learning for Pricing Down-and-In Put Options
M AHNOUCH, E LE SAOUT, L ELAACHAK, A GHADI - efmaefm.org
This paper delves into the pricing of down-and-in put option, integral to the complexity of
derivatives like autocallables5. These options are sensitive to the skew and the …
derivatives like autocallables5. These options are sensitive to the skew and the …
Option Prices and Greeks with Conditional Normalizing Flows
SY Cho, S Lee, HG Kim - Available at SSRN 4977973 - papers.ssrn.com
The precise and efficient estimation of option prices and Greeks is crucial for effectively
managing and hedging risks in financial derivatives. Traditional approaches often struggle …
managing and hedging risks in financial derivatives. Traditional approaches often struggle …