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                Pricing of Securities

                Authors and titles for recent submissions

                [ total of 6 entries: 1-6 ]
                [ showing up to 25 entries per page: fewer | more ]

                Mon, 25 May 2020

                [1]  arXiv:2005.10966 (cross-list from q-fin.CP) [pdf, other]
                Title: Pricing Barrier Options with DeepBSDEs
                Comments: 20 pages
                Subjects: Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)

                Thu, 14 May 2020

                [2]  arXiv:2005.06015 (cross-list from q-fin.MF) [pdf, ps, other]
                Title: Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time
                Authors: Jun Deng, Bin Zou
                Comments: 16 pages
                Subjects: Mathematical Finance (q-fin.MF); Portfolio Management (q-fin.PM); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

                Wed, 13 May 2020

                [3]  arXiv:2005.05459 (cross-list from q-fin.CP) [pdf, ps, other]
                Title: Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
                Comments: 32 pages, 4 figures, 4 tabkes
                Subjects: Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)
                [4]  arXiv:2005.05310 (cross-list from q-fin.CP) [pdf, other]
                Title: Rational Finance Approach to Behavioral Option Pricing
                Comments: arXiv admin note: text overlap with arXiv:1710.03205
                Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

                Tue, 12 May 2020

                [5]  arXiv:2005.04297 (cross-list from q-fin.CP) [pdf, other]
                Title: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation
                Authors: Yuri F. Saporito
                Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

                Fri, 8 May 2020

                [6]  arXiv:2005.03554 [pdf, other]
                Title: Mortgage Contracts and Selective Default
                Subjects: Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)
                [ total of 6 entries: 1-6 ]
                [ showing up to 25 entries per page: fewer | more ]
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