3 papers
q-fin.MF2021
Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models
Jingtang Ma, Wensheng Yang, Zhenyu Cui
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are conti…
q-fin.CP2021
SINH-acceleration for B-spline projection with Option Pricing Applications
Svetlana Boyarchenko, Sergei Levendorskiĭ, J. Lars Kirkby +1
We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration tech…
math.NA2018
Optimal Unbiased Estimation for Expected Cumulative Cost
Zhenyu Cui, Michael C. Fu, Yijie Peng +1
We consider estimating an expected infinite-horizon cumulative discounted cost/reward contingent on an underlying stochastic process by Monte Carlo simulation. An unbiased estimato…