MetaRL pre-trained on GBWM problems delivers near-optimal dynamic strategies in 0.01s achieving 97.8% of DP optimal utility and handles larger problems where DP fails.
Emanuel Derman and Iraj Kani
7 Pith papers cite this work. Polarity classification is still indexing.
7
Pith papers citing it
years
2026 7verdicts
UNVERDICTED 7representative citing papers
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.
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.
citing papers explorer
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Bayesian Joint Estimation of the Hurst Parameter and Volatility with Applications to Fractional Option Pricing
Bayesian joint estimation of Hurst parameter and volatility in fractional SDE models is developed to propagate parameter uncertainty into fractional Black-Scholes option prices.