A low-rank kernel conditional expectation model enables scalable recursive Monte Carlo pricing of American options with convergence bounds.
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A systematic small-rho expansion around zero-leverage stochastic-clock models yields fast semi-analytic formulas for barrier option prices and extrema distributions under leverage.
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Low-rank kernel methods for American option pricing
A low-rank kernel conditional expectation model enables scalable recursive Monte Carlo pricing of American options with convergence bounds.
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Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
A systematic small-rho expansion around zero-leverage stochastic-clock models yields fast semi-analytic formulas for barrier option prices and extrema distributions under leverage.