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q-fin.CP2026
Signature-based identification of volatility models from path geometry
Òscar Burés, Rafael De Santiago
We propose a signature-based framework for the identification of stochastic volatility model classes from observed path data. By mapping volatility trajectories into a feature spac…
q-fin.PR2026
Matrix Approximation of Bachelier Option Prices and Greeks under Stochastic Volatility models
Elisa Alòs, Òscar Burés
In this paper, we present a numerical method for option pricing and the computation of Greeks under stochastic volatility Bachelier-type models, based on elementary linear algebra.…
q-fin.CP2026
Analytic approximation for Bachelier option prices and applications
Elisa Alòs, Òscar Burés
It is well-known that, in the Bachelier model, when asset prices and volatilities are uncorrelated, the implied volatility coincides with the fair value of the volatility swap. In…