3 papers
q-fin.CP2026
One Other Option Pricing Scheme
Jimin Lin
We present a distinctive approach to parameterizing the risk neutral distribution. Using parsimonious and interpretable parameters, the model provides direct and localized control…
q-fin.CP2026
Shallow Representation of Option Implied Information
Jimin Lin
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the…
q-fin.CP2024
Neural Term Structure of Additive Process for Option Pricing
Jimin Lin, Guixin Liu
The additive process generalizes the Lévy process by relaxing its assumption of time-homogeneous increments and hence covers a larger family of stochastic processes. Recent researc…