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q-fin.PR2025
Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
Sebastien Bossu, Michael Grabchak
Random-expiry options are nontraditional derivative contracts that may expire early based on a random event. We develop a methodology for pricing these options using a trinomial tr…
math.ST2025
Confidence Intervals Using Turing's Estimator: Simulations and Applications
Jie Chang, Michael Grabchak, Jialin Zhang
Turing's estimator allows one to estimate the probabilities of outcomes that either do not appear or only rarely appear in a given random sample. We perform a simulation study to u…