Economics & Finance · Interdisciplinary & Society
Pricing of Securities
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30 papers, from 7 September 2026 to 5 November 2026: 30 arXiv preprints.
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Newest papers, page 2
FOMO: FLEX Options and Market Outcomes
FLEX options are customized exchange-traded contracts allowing participants to choose nonstandard strikes, expirations, exercise styles, and settlement terms while retaining central clearing.Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models
European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications.Optimal Catastrophe Bond Design and its Applications to Climate Change Risk
Catastrophe bonds have become a central instrument for transferring catastrophic risk to capital markets, yet their payout structures are typically specified exogenously rather than optimized.Dyson-Schwinger Effective-Action Methods for Rough Volatility: A Correlation-Response Architecture for Calibration, Exotics and Risk
We develop a non-perturbative framework for stochastic-volatility option pricing built on the two-particle-irreducible (2PI) effective action and the Dyson-Schwinger gap equations of quantum field…Short-term barrier option price expansion
We derive a short-maturity expansion for up-and-out put barrier option prices under continuous stochastic volatility when the strike and the barrier approach the spot at the diffusive scale.Basket implied volatility skew and stickiness
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility.Design and pricing of a transparent parametric-modeled loss CAT bond: application to German windstorm
Catastrophe (cat) bonds overcome some lack of reinsurance by sourcing capacity from the wider capital markets.Yet another asymptotic formula for implied volatility
We derive a first-order representation of Black-Scholes implied variance in a continuous local martingale model.Arbitrage in Estimate Nothing: an example
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers.Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model
We develop semi-closed pricing formulas and lifted-model hedging methods for discretely monitored geometric and arithmetic Asian options in the Volterra-Heston stochastic volatility model.