Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence

DOI10.1016/j.amc.2021.126484OpenAlexW3177897716MaRDI QIDQ2245957

Fabio Scalco Dias, Gareth W. Peters

Publication date: 15 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126484

zbMATH Keywords

option pricingmixture modelspolynomial chaos expansionsigned path dependencetime series momentum

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Estimation of risk-neutral densities using positive convolution approximation
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Polynomial chaos expansion approach to interest rate models
• Nonparametric estimation of stochastic volatility models
• Data-driven polynomial chaos expansion for machine learning regression
• A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
• A Theory of the Term Structure of Interest Rates
• Temporal Aggregation of Garch Processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Measure-Valued Spline Curves: An Optimal Transport Viewpoint
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Pricing Interest-Rate-Derivative Securities
• A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles

This page was built for publication: Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence