4 papers
One Other Option Pricing Scheme
Jimin Lin
We present a distinctive approach to parameterizing the risk neutral distribution. Using parsimonious and interpretable parameters, the model provides direct and localized control…
Shallow Representation of Option Implied Information
Jimin Lin
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the…
NeuralBeta: Estimating Beta Using Deep Learning
Yuxin Liu, Jimin Lin, Achintya Gopal
Traditional approaches to estimating beta in finance often involve rigid assumptions and fail to adequately capture beta dynamics, limiting their effectiveness in use cases like he…
Neural Term Structure of Additive Process for Option Pricing
Jimin Lin, Guixin Liu
The additive process generalizes the Lévy process by relaxing its assumption of time-homogeneous increments and hence covers a larger family of stochastic processes. Recent resear…