A new options pricing method: semi-stochastic kernel regression method with constraints

DOI10.1080/00207160.2023.2217302MaRDI QIDQ6117127zbMATH OpenOpenAlexFDO

Authors Le Jiang, Chenglong Xu

Publication date 16 August 2023

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2023.2217302

zbMATH Keywords

least-squares method with constraintsMonte Carlo simulationoption pricingsemi-stochastic kernel regression

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An efficient control variate method for pricing variance derivatives
• Bandwidth selection in kernel density estimation: oracle inequalities and adaptive minimax optimality
• Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
• Enhancing stochastic kriging metamodels with gradient estimators
• High order approximation of derivatives with applications to pricing of financial derivatives
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Regression models augmented with direct stochastic gradient estimators
• SDE based regression for linear random PDEs
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(2)

• A novel intelligent option price forecasting and trading system by multiple kernel adaptive filters
• Option pricing using a computational method based on reproducing kernel

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