1 citations · 1 across the 6 of their papers we have counts for
Showing q-fin.CPShow all
2 papers · 1 filter
q-fin.CP2026
Neural Calibration of a Complete Market Model
Andrea Molent, Michel Vellekoop
We propose a neural calibration method to construct a recombining binomial tree directly from a set of given option prices. Rather than estimating a continuous option pricing funct…
q-fin.CP2009
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
Benjamin Jourdain, Michel Vellekoop
We analyze the regularity of the optimal exercise boundary for the American Put option when the underlying asset pays a discrete dividend at a known time during the lifetime…