Quant Letter: November 2024, Week-4
Weekly (72nd Edition)
ArXiv
Finance
Quanto Call Options Pricing: The study explores quanto options involving multiple assets in different currencies, concluding that a mix of GARCH-Jump SV, Weibull SC, and Ornstein Uhlenbeck (OU) SER is most effective for Monte Carlo simulation pricing. (2024-11-25, shares: 4)
Markov-Functional Models: The paper presents a Markov-functional met…
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