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X-WR-CALNAME:Mathematical Finance
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X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20240310T080000
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DTSTART:20241103T070000
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DTSTART;TZID=America/Chicago:20240823T140000
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DTSTAMP:20241114T145306
CREATED:20240430T211647Z
LAST-MODIFIED:20240430T211647Z
UID:1374-1724421600-1724425200@www.math.ttu.edu
SUMMARY:Quanto Option Pricing on a Multivariate Lévy Process Model with Generative Artificial Intelligence
DESCRIPTION:Speaker: Prof. Aaron YS Kim\, College of Business\, Stony Brook University \nAbstract: In this study\, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model. We introduce a new multivariate Levy process model named the generalized normal tempered stable (gNTS) process\, which is defined by time-changed multivariate Brownian motion. Since the gNTS process does not provide a simple analytic formula for the probability density function (PDF)\, we use the conditional real-valued non-volume preserving (CRealNVP) model\, which is a type of flow-based generative network. Then\, we discuss the no-arbitrage pricing on the gNTS model for pricing the quanto option whose underlying assets consist of a foreign index and foreign exchange rate. We present the training of the CRealNVP model to learn the PDF of the gNTS process using a training set generated by Monte Carlo simulation. Next\, we estimate the parameters of the gNTS model with the trained CRealNVP model using the empirical data observed in the market. Finally\, we provide a method to find an equivalent martingale measure on the gNTS model and to price the quanto option using the CRealNVP model with the risk-neutral parameters of the gNTS model.
URL:https://www.math.ttu.edu/mathematicalfinance/event/quanto-option-pricing-on-a-multivariate-levy-process-model-with-generative-artificial-intelligence/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/04/youngskim.jpg
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