Watanabe's expansion: A Solution for the convexity conundrum

By David Garcia-Lorite, Raúl Merino

Published 2024-04-03

Everscope rating

1698.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Watanabe expansion. Problem types: Option pricing, Convexity adjustment calculation.

arXiv:2404.01522 · Code · Paper rankings

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