1 citations · 1 across the 2 of their papers we have counts for
8 papers
American option pricing using generalised stochastic hybrid systems
Evelyn Buckwar, Sascha Desmettre, Agnes Mallinger +1
This paper presents a novel approach to pricing American options using piecewise diffusion Markov processes (PDifMPs), a type of generalised stochastic hybrid system that integrate…
Supervised machine learning classification for short straddles on the S&P500
Alexander Brunhuemer, Lukas Larcher, Philipp Seidl +3
In this working paper we present our current progress in the training of machine learning models to execute short option strategies on the S&P500. As a first step, this paper is br…
Change of drift in one-dimensional diffusions
Sascha Desmettre, Gunther Leobacher, L. C. G. Rogers
It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same…
Integral Representation of Generalized Grey Brownian Motion
Wolfgang Bock, Sascha Desmettre, José Luís da Silva
In this paper we investigate the representation of a class of non Gaussian processes, namely generalized grey Brownian motion, in terms of a weighted integral of a stochastic proce…
Change of Measure in the Heston Model given a violated Feller Condition
Sascha Desmettre
When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption…
Portfolio Optimization in Fractional and Rough Heston Models
Nicole Bäuerle, Sascha Desmettre
We consider a fractional version of the Heston volatility model which is inspired by [16]. Within this model we treat portfolio optimization problems for power utility functions. U…