2025/12/02 by Marco Airoldi, Airoldi, Marco
Decision Sciences · Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #Credit Risk and Financial Regulations #FOS: Economics and business #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2512.15718
openalex publication_date 2025/12/02 · openalex created_date 2025/12/21 · openalex updated_date 2026/07/28
We present a high-level framework that explains why, in practice, different pricing models calibrated to the same vanilla surface tend to produce similar valuations for exotic derivatives. Our approach acts as an overlay on the Monte Carlo infrastructure already used in banks, combining path reweighting with a conic optimisation layer without requiring any changes to existing code. This construction delivers narrow, practically model-independent price bands for exotics, reconciling front-office practice with the robust, model-independent ideas developed in the academic literature.