arXiv subjects

Athanasios A. Pantelous

Publications and source records attributed to Athanasios A. Pantelous.

2 recordsLinked to original sources

arXiv2018

Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation

Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and estimating the corresponding execution probabilities. We show that the proposed method always outperforms the standard Monte Carlo approach and becomes substantially more efficient when the underlying asset has high volatility, while it performs better than multilevel Monte Carlo for special cases of barrier options and underlying assets. These theoretical findings are confirmed by numerous simulation results.

q-fin.PR↗

arXiv2015

The Maximum Number of 3- and 4-Cliques within a Planar Maximally Filtered Graph

Planar Maximally Filtered Graphs (PMFG) are an important tool for filtering the most relevant information from correlation based networks such as stock market networks. One of the main characteristics of a PMFG is the number of its 3- and 4-cliques. Recently in a few high impact papers it was stated that, based on heuristic evidence, the maximum number of 3- and 4-cliques that can exist in a PMFG with n vertices is 3n - 8 and n - 4 respectively. In this paper, we prove that this is indeed the case.

math-ph↗