7 papers
Quantum computing for multidimensional option pricing: End-to-end pipeline
Julien Hok, Álvaro Leitao
This work introduces an end-to-end framework for multi-asset option pricing that combines market-consistent risk-neutral density recovery with quantum-accelerated numerical integra…
The importance of being scrambled: supercharged Quasi Monte Carlo
J. Hok, S. Kucherenko
In many financial applications Quasi Monte Carlo (QMC) based on Sobol low-discrepancy sequences (LDS) outperforms Monte Carlo showing faster and more stable convergence. However, u…
Speeding up the Euler scheme for killed diffusions
Umut Çetin, Julien Hok
Let be a linear diffusion taking values in and consider the standard Euler scheme to compute an approximation to for a given f…
Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo
Julien Hok, Sergei Kucherenko
Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of a…
Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method
Julien Hok, Shih-Hau Tan
Long maturity options or a wide class of hybrid products are evaluated using a local volatility type modelling for the asset price S(t) with a stochastic interest rate r(t). The ca…
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Julien Hok, Philip Ngare, Antonis Papapantoleon
We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR ra…
Option pricing with Legendre polynomials
Julien Hok, Tat Lung Chan
Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function w…