3 papers
q-fin.CP2025
An Efficient Machine Learning Framework for Option Pricing via Fourier Transform
Liying Zhang, Ying Gao
The increasing need for rapid recalibration of option pricing models in dynamic markets places stringent computational demands on data generation and valuation algorithms. In this…
math.OC2021
The monotone extended second order cone and mixed complementarity problems
Y. Gao, S. Z. Németh, R. Sznajder
In this paper, we study a new generalization of the Lorentz cone, called the Monotone Extended Second Order Cone (MESOC). We investigate basic properties of MESOC including computa…
math.OC2021
Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression
Orizon P. Ferreira, Yingchao Gao, Sándor Z. Németh
This paper introduces the monotone extended second-order cone (MESOC), which is related to the monotone cone and the second-order cone. Some properties of the MESOC are presented a…