4 papers · 1 filter
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…
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…
Asian options for local-stochastic volatility models in the short-maturity regime
Dan Pirjol, Lingjiong Zhu
We derive the short-maturity asymptotics for Asian option prices in local-stochastic volatility (LSV) models. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are con…
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…