This work generalizes existing one- and two-dimensional pricing formulas with an equal number of barriers to a setting of n dimensions and up to two barriers in the presence of stochastic volatility.
A new technique for pricing exotic options unifies two classic models
A model unifies the classic local vol and binomial trees to accurately price options
In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise sensitivities for discontinuous payoff functions.
Interview: Ralf Donner explains why algo usage is up while markets are down
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
In this paper, the authors propose improvements to the approach of Ramírez-Espinoza and Ehrhardt (2013) for option-pricing PDEs formulated in the conservative form.
SocGen quants propose technique to more accurately calibrate exotic options
After volatility surge, buyers give up coupons for better chance of early redemption
In this paper, the authors give a decomposition formula to calculate the vega index (sensitivity with respect to changes in volatility) for options with prices that depend on the extrema (maximum or minimum) and terminal value of the underlying stock…
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
The authors present Sequential Monte Carlo (SMC) method for pricing barrier options.
Quantization is applied to price vanilla and barrier options
SG is the issuer but there is a link to four other UK institutions
Some buy-side firms avoid illiquid underlyings over manipulation risks
Basket performance is multiplied by 2.5 and returns are uncapped
US investors can choose from protected or leveraged versions
Quarterly coupon gives 10% annual return in the absence of kickout
Societe Generale sets barrier at 60% in income product for UK retail
Index-based product structured to limit upside and protect downside