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Pricing of Securities

Authors and titles for recent submissions

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Thu, 30 Apr 2020

Error with 2004.13708

Wed, 22 Apr 2020

[2]  arXiv:2004.09591 (cross-list from q-fin.CP) [pdf, ps, other]
Title: Semi-closed form prices of barrier options in the Hull-White model
Comments: 15 pages, 4 figures, 1 table
Subjects: Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)

Tue, 21 Apr 2020

[3]  arXiv:2004.08650 [pdf, other]
Title: An arbitrage-free interpolation of class $C^2$ for option prices
Authors: Fabien Le Floc'h
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)

Fri, 17 Apr 2020

[4]  arXiv:2004.07736 [pdf, other]
Title: Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework
Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR); Mathematical Finance (q-fin.MF); Machine Learning (stat.ML)
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