---
title: 0DTE Option Pricing
url: https://www.ml-quant.com/papers/ssrn/4503344/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4503344
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4503344
featured: 2023-07-12
citations: 8
topic: Derivatives & Volatility
---


# 0DTE Option Pricing

Capturing Volatility Dynamics: The market for ultra short-term zero days-to-expiry options has expanded, with a new pricing formula developed to account for factors like leverage and volatility-of-volatility.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4503344
- Identifier: SSRN 4503344
- Released: 2023-07-07
- First featured: Quant Letter No. 7 (2023-07-12): https://www.ml-quant.com/issues/2023-07-12/
- Citations (Semantic Scholar): 8
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Machine learning for option pricing: an empirical investigation of network architectures](https://www.ml-quant.com/papers/arxiv/2307.07657/): A study finds that the generalized highway network and a DGM variant improve the accuracy and training time of machine learning algorithms for option pricing.
- [A fast Monte Carlo scheme for additive processes and option pricing](https://www.ml-quant.com/papers/arxiv/2112.08291/): The article introduces a quick Monte Carlo method for additive processes, improving accuracy in pricing options that depend on a specific path.
- [Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing](https://www.ml-quant.com/papers/arxiv/2105.10467/): New ultra-fast and highly accurate neural Transition Probability Density Function generators have been developed for use in computational finance.
- [Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure](https://www.ml-quant.com/papers/arxiv/2306.05750/): Two simulation methods have been developed to compute option prices numerically.
- [The Quadratic Local Variance Gamma Model: An Arbitrage-Free Interpolation of Class C3 for Option Prices](https://www.ml-quant.com/papers/arxiv/2305.13791/): Piecewise quadratic local variance function formulated for arbitrage-free interpolation of market quotes.
- [Option pricing under jump diffusion model](https://www.ml-quant.com/papers/arxiv/2305.10678/): European option pricing formula provided under double Levy jumps model with series solution and numerical experiments.