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...

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 in the Heston model setting as an alternative...

We develop a simple and fast methodology for the estimation of future outstanding, discrete dividend payments, based on market prices of American at-the-money options. Our method relies on a linear combination of no-arbitrage bounds of the dividends. The corresponding optimal weight is...