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Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial … mathematics. Therefore, we apply the Heath-Platen (HP) estimator as first introduced by Heath and Platen to price barrier options …
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We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that approximates efficient low-dimensional representations of the...
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market prices of American at-the-money options. Our method relies on a linear combination of no-arbitrage bounds of the … backtest our results against a method using European options and against a simple estimate …
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