2 papers
q-fin.PR2024
Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
Boris Ter-Avanesov, Gunter A. Meissner
Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying a…
q-fin.CP2024
MLP, XGBoost, KAN, TDNN, and LSTM-GRU Hybrid RNN with Attention for SPX and NDX European Call Option Pricing
Boris Ter-Avanesov, Homayoon Beigi
We explore the performance of various artificial neural network architectures, including a multilayer perceptron (MLP), Kolmogorov-Arnold network (KAN), LSTM-GRU hybrid recursive n…