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cs.LG2024
Generalized EXTRA stochastic gradient Langevin dynamics
Mert Gurbuzbalaban, Mohammad Rafiqul Islam, Xiaoyu Wang +1
Langevin algorithms are popular Markov Chain Monte Carlo methods for Bayesian learning, particularly when the aim is to sample from the posterior distribution of a parametric model…
q-fin.PR2024
Short-maturity options on realized variance in local-stochastic volatility models
Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu
We derive the short-maturity asymptotics for prices of options on realized variance in local-stochastic volatility models. We consider separately the short-maturity asymptotics for…
q-fin.PR2024
Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
Dan Pirjol, Xiaoyu Wang, Lingjiong Zhu
We derive the short-maturity asymptotics for European and VIX option prices in local-stochastic volatility models where the volatility follows a continuous-path Markov process. Bot…