I am working on my thesis about option pricing models beyond classical Black-Scholes Model by looking for some recent innovations on mathematical processes behind the pricing structures. By that I mean doing some essential modification on traditional GBM framework or even replaced it with other mathematical processes, such as Levy's process (or some novel stuff). So far, I have found Neural SDEs to be a good starting point to this topic, since it replaces the fixed parameters in models like BSM and Heston's volatility model by neural networks. But I wonder if there are other scholar work introducing new mathematical frameworks of pricing model?

Any help is appreciated. Hopefully I could get some advice from researchers or pricing engineers as an undergraduate...



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.