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Paper / 2025SMQ / 167149269140093
Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading
Amir Naveh / Bartolomeo Montrucchio / Christian Mattia / Davide Corbelletto / Emanuele Dri / Francesca Cibrario / Giacomo Ranieri / Hanan Rosemarin / Or Samimi Golan / Ron Cohen / Tamuz Danzig
algorithms / derivativesResource overview

Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading

Paper2025

by Amir Naveh, Bartolomeo Montrucchio, Christian Mattia, Davide Corbelletto, Emanuele Dri, Francesca Cibrario, Giacomo Ranieri, Hanan Rosemarin, Or Samimi Golan, Ron Cohen, Tamuz Danzig

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algorithmsderivativesoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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Amir Naveh, Bartolomeo Montrucchio, Christian Mattia, Davide Corbelletto, Emanuele Dri, Francesca Cibrario, Giacomo Ranieri, Hanan Rosemarin, Or Samimi Golan, Ron Cohen, Tamuz Danzig

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