Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.
Benedict Burnett
12 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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Prediction market prices for Bitcoin thresholds on Polymarket exceed option-implied probabilities from Binance by 5.6-6.3 percentage points on average, with the gap persistent yet mean-reverting.
Agent-based model with multi-agent RL shows market-maker profitability trends upward overall with rising aggregate market informedness as price-discovery benefits offset adverse-selection costs.
A compact 2-qubit QNN approximates Black-Scholes-Merton option prices with usable accuracy when executed on multiple commercial NISQ quantum processors.
Bayesian joint estimation of Hurst parameter and volatility in fractional SDE models is developed to propagate parameter uncertainty into fractional Black-Scholes option prices.
Robust HVA is the worst-case expected loss in a relative-entropy ball around loss distributions from simulated rebalancing and unwind trades under different no-trade-band rules.
Q-variance relationship is exactly equivalent to Inverse Gamma distribution for volatility, which is generated by multiplicative Langevin process for short times.
Empirical study of index-option carry gaps finds that a fitted physical-drift term in a GBM improves the description of put-call parity wedges, interpreted as evidence that physical measures affect the capital-using arbitrage process.
Non-unique time arising from event-driven order flow points to a foundational market incompleteness beyond usual no-arbitrage assumptions.
Derives a generalized European option pricing PDE from an operational-time log-price lattice with state-dependent transitions that converges to the Black-Scholes-Merton PDE under risk-neutral drift and constant volatility.
Quantum walks integrated with variational circuits and CUDA-Q acceleration generate high-fidelity adaptive probability distributions for 1D financial modeling and 2D digit patterns.
Uses EGARCH for historical volatility, SARIMAX with meteorological regressors for forecasts under SSP2-4.5 and SSP5-8.5, and Black-Scholes to price climate-linked put options for farmers in India and US regions.
citing papers explorer
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Non-Spanning Identification of Scheduled Event Risk in Option Pricing
Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.
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Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
Q-variance relationship is exactly equivalent to Inverse Gamma distribution for volatility, which is generated by multiplicative Langevin process for short times.
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Option prices from operational-time reaction-boundary lattices
Derives a generalized European option pricing PDE from an operational-time log-price lattice with state-dependent transitions that converges to the Black-Scholes-Merton PDE under risk-neutral drift and constant volatility.