no code implementations • 1 Dec 2021 • Gongqiu Zhang, Lingfei Li
We propose a very efficient method for pricing various types of lookback options under Markov models.
no code implementations • 5 Nov 2021 • Jie Chen, Lingfei Li
We develop deep learning models to learn the hedge ratio for S&P500 index options directly from options data.
no code implementations • 14 Jul 2021 • Gongqiu Zhang, Lingfei Li
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes.
no code implementations • 14 Jun 2021 • Wenyong Zhang, Lingfei Li, Gongqiu Zhang
We propose a two-step framework for predicting the implied volatility surface over time without static arbitrage.