From the 2 of 10 linked papers with an AI index.
10 papers
An Analytic COS Method for Compound Option Valuation
Zhipeng Huang, Cornelis W. Oosterlee
We develop an analytic Fourier cosine (COS) method for the valuation of compound options. By deriving closed-form expressions for the cosine coefficients at all compound stages, th…
RIDGE: An Autonomous Framework for Validation and Method Discovery in LLM-Generated Option Pricing
Liexin Cheng, Xue Cheng, Shuaiqiang Liu +1
The paper introduces RIDGE, an autonomous framework that validates and refines option pricing implementations generated by large language models using no‑arbitrage, stress, benchma…
A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis
Davide Trevisani, José Germán López Salas, Chiheb Ben Hammouda +1
We introduce a damped variant of the Shannon Wavelet Inverse Fourier Technique (SWIFT) for pricing European options when the characteristic function of the underlying model is avai…
Convergence of the Markovian Iteration for Coupled FBSDEs via a Differentiation Approach
Zhipeng Huang, Cornelis W. Oosterlee
The paper presents a new differentiation-based technique to ensure convergence of a Markovian iteration method for solving fully coupled forward-backward stochastic differential eq…
SigMA: Path Signatures and Multi-head Attention for Learning Parameters in fBm-driven SDEs
Xianglin Wu, Chiheb Ben Hammouda, Cornelis W. Oosterlee
Stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm) are increasingly used to model systems with rough dynamics and long-range dependence, such as th…
The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
Zhipeng Huang, Cornelis W. Oosterlee
We propose the Compound BSDE method, a fully forward, deep-learning-based approach for solving a broad class of problems in financial mathematics, including optimal stopping. The m…