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 …
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Many financial assets, such as currencies, commodities, and equity stocks, exhibit both
jumps and stochastic volatility, which are especially prominent in the market after the …
jumps and stochastic volatility, which are especially prominent in the market after the …
Equity-linked guaranteed minimum death benefits with dollar cost averaging
In this paper, we analyze a form of equity-linked Guaranteed Minimum Death Benefit
(GMDB), whose payoff depends on a dollar cost averaging (DCA) style periodic investment …
(GMDB), whose payoff depends on a dollar cost averaging (DCA) style periodic investment …
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
JL Kirkby - European Journal of Operational Research, 2023 - Elsevier
Hybrid equity-rate derivatives are commonly traded between financial institutions, but are
challenging to price with traditional methods. Especially challenging are those contracts …
challenging to price with traditional methods. Especially challenging are those contracts …
A data-driven framework for consistent financial valuation and risk measurement
In this paper, we propose a general data-driven framework that unifies the valuation and risk
measurement of financial derivatives, which is especially useful in markets with thinly-traded …
measurement of financial derivatives, which is especially useful in markets with thinly-traded …
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
JL Kirkby, JP Aguilar - Scandinavian Actuarial Journal, 2023 - Taylor & Francis
This work studies the valuation and optimal surrender of variable (equity-linked) annuities
under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee …
under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee …
Efficient evaluation of expectations of functions of a L\'evy process and its extremum
S Boyarchenko, S Levendorskiĭ - arXiv preprint arXiv:2207.02793, 2022 - arxiv.org
We prove simple general formulas for expectations of functions of a L\'evy process and its
running extremum. Under additional conditions, we derive analytical formulas using the …
running extremum. Under additional conditions, we derive analytical formulas using the …
An analysis of dollar cost averaging and market timing investment strategies
In this paper we present new theoretical and practical insights into the method of dollar cost
averaging (DCA) and averaging-style investment timing strategies, with a formal analysis of …
averaging (DCA) and averaging-style investment timing strategies, with a formal analysis of …
SINH-acceleration for B-spline projection with option pricing applications
S Boyarchenko, S Levendorskiĭ… - International Journal of …, 2021 - World Scientific
We clarify the relations among different Fourier-based approaches to option pricing, and
improve the B-spline probability density projection method using the sinh-acceleration …
improve the B-spline probability density projection method using the sinh-acceleration …
Efficient inverse -transform and pricing barrier and lookback options with discrete monitoring
S Boyarchenko, S Levendorskiĭ - arXiv preprint arXiv:2207.02858, 2022 - arxiv.org
We prove simple general formulas for expectations of functions of a random walk and its
running extremum. Under additional conditions, we derive analytical formulas using the …
running extremum. Under additional conditions, we derive analytical formulas using the …