177 citations · 238 across the 18 of their papers we have counts for
5 papers · 1 filter
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
Peter Carr, Andrey Itkin, Dmitry Muravey
We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficien…
A model-free backward and forward nonlinear PDEs for implied volatility
Peter Carr, Andrey Itkin, Sasha Stoikov
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contin…
An Expanded Local Variance Gamma model
Peter Carr, Andrey Itkin
The paper proposes an expanded version of the Local Variance Gamma model of Carr and Nadtochiy by adding drift to the governing underlying process. Still in this new model it is po…
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
Gili Rosenberg, Poya Haghnegahdar, Phil Goddard +3
We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding sch…
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Andrey Itkin, Peter Carr
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known th…