computational finance 1local volatility 1numerical convolution 1option pricing 1risk neutral density 1
From the 1 of 3 linked papers with an AI index.
3 papers
q-fin.CP2026
Robust and Fast Bass Local Volatility
Hao Qin, Charlie Che, Ruozhong Yang +1
The paper introduces a fast and robust method for the Bass Local Volatility model by using local quadratic estimation with lognormal mixture tails to construct risk‑neutral densiti…
q-fin.CP2026
Arbitrage-Free Multi-Maturity Risk-Neutral Marginals
Hao Qin, Ruozhong Yang, Charlie Che +1
Many quantitative finance methods and applications are formulated in terms of option-implied risk-neutral marginals rather than directly in terms of option prices. Representative e…
q-fin.CP2025
Volatility Calibration via Automatic Local Regression
Ruozhong Yang, Hao Qin, Charlie Che +1
Managing exotic derivatives requires accurate mark-to-market pricing and stable Greeks for reliable hedging. The Local Volatility (LV) model distinguishes itself from other pricing…