2 papers
q-fin.PM2025
Stochastic Optimal Control of Iron Condor Portfolios for Profitability and Risk Management
Hanyue Huang, Qiguo Sun, Xibei Yang
Previous research on option strategies has primarily focused on their behavior near expiration, with limited attention to the transient value process of the portfolio. In this pape…
cs.LG2024
Jump Diffusion-Informed Neural Networks with Transfer Learning for Accurate American Option Pricing under Data Scarcity
Qiguo Sun, Hanyue Huang, XiBei Yang +1
Option pricing models, essential in financial mathematics and risk management, have been extensively studied and recently advanced by AI methodologies. However, American option pri…