Exit times from time-dependent domains are continuous under local Skorokhod J1 path convergence and uniform barrier convergence at non-tangency points, yielding weak convergence of exit times and M1 convergence of exit-time profiles without independence assumptions.
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A deep learning dynamic programming scheme prices path-dependent convertible bonds under GBM, CEV and Heston dynamics, showing that reset and call clauses dominate the underlying process in determining value and that downward resets can paradoxically lower bond prices.
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Exit times from time-dependent random domains: continuity, weak convergence, and exit-time profiles Draft -currently under review at Stochastic Processes and their Applications
Exit times from time-dependent domains are continuous under local Skorokhod J1 path convergence and uniform barrier convergence at non-tangency points, yielding weak convergence of exit times and M1 convergence of exit-time profiles without independence assumptions.
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A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
A deep learning dynamic programming scheme prices path-dependent convertible bonds under GBM, CEV and Heston dynamics, showing that reset and call clauses dominate the underlying process in determining value and that downward resets can paradoxically lower bond prices.