Related papers: Pricing financial derivatives by a minimizing meth…
Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a…
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivatives, stochastic optimal control problems, optimal stopping…
Using a multiplicative structure (for example that of a Banach algebra) and a partial order we construct a weak version of a Banach space valued stochastic integral with respect to square integrable martingales.
We discuss the binary nature of funding impact in derivative valuation. Under some conditions, funding is either a cost or a benefit, i.e., one of the lending/borrowing rates does not play a role in pricing derivatives. When derivatives are…
This paper is concerned with solution in H\"{o}lder spaces of the Cauchy problem for linear and semi-linear backward stochastic partial differential equations (BSPDEs) of super-parabolic type. The pair of unknown variables are viewed as…
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic differential equations of the successive…
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution…
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…
An algorithmic method to exploit a general class of infinitesimal symmetries for reducing stochastic differential equations is presented and a natural definition of reconstruction, inspired by the classical reconstruction by quadratures, is…
The Cauchy problem for fractional derivatives linear systems of ordinary differential equations with constant coefficients is considered, where at first the analytic expressions are given through the matrix exponent of its corresponding…
The aim of the present paper is to study the existence, uniqueness and some other properties of solutions of a certain partial dynamic integrodifferential equations. The Banach fixed point theorem and certain fundamental inequality with…
The artefact is dedicated towards the inspection of nonlinear fractional differential systems involving Riemann-Liouville derivative with higher order and fixed lower limit, including non-instantaneous impulses for existence and uniqueness…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
In this Note, assuming that the generator is uniform Lipschitz in the unknown variables, we relate the solution of a one dimensional backward stochastic differential equation with the value process of a stochastic differential game. Under a…
We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…
Using the Fitzpatrick function, we characterize the solutions for different classes of deterministic and stochastic differential equations driven by maximal monotone operators (or in particular subdifferential operators) as the minimum…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
We consider first-order linear systems of ordinary differential equations with periodic coefficients. Supposing that right-hand sides of equations are not known and subjected to some quadratic restrictions, we obtain optimal, in certain…
We propose a new kind of stochastic absolute value equations involving absolute values of variables. By utilizing an equivalence relation to stochastic bilinear program, we investigate the expected value formulation for the proposed…
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American…