2 papers
stat.ME2023
Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix
Jirô Akahori, Nien-Lin Liu, Maria Elvira Mancino +2
In this paper we propose an estimator of spot covariance matrix which ensure symmetric positive semi-definite estimations. The proposed estimator relies on a suitable modification…
q-fin.CP2017
Most-likely-path in Asian option pricing under local volatility models
Louis-Pierre Arguin, Nien-Lin Liu, Tai-Ho Wang
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored…