2 papers
q-fin.PR2026
Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks
Hasib Uddin Molla, Antony Ware, Ilnaz Asadzadeh +1
We present a generative framework for pricing European-style basket options by learning the conditional terminal distribution of the log arithmetic-weighted basket return. A Mixtur…
q-fin.MF2025
Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
Jinniao Qiu, Antony Ware, Yang Yang
This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price vola…