Related papers: Laplace transformation method for the Black-Schole…
The main aim of this study is to introduce a 2-layered Artificial Neural Network (ANN) for solving the Black-Scholes partial differential equation (PDE) of either fractional or ordinary orders. Firstly, a discretization method is employed…
The time integration of semilinear parabolic problems by exponential methods of different kinds is considered. A new algorithm for the implementation of these methods is proposed. The algorithm evaluates the operators required by the…
The classical Talbot method for the computation of the inverse Laplace transform is improved for the case where the transform is analytic in the complex plane except for the negative real axis. First, by using a truncated Talbot contour…
One of the most discussed problems in the financial world is stock option pricing. The Black-Scholes Equation is a Parabolic Partial Differential Equation which provides an option pricing model. The present work proposes an approach based…
Statistical applications often involve the calculation of intractable multidimensional integrals. The Laplace formula is widely used to approximate such integrals. However, in high-dimensional or small sample size problems, the shape of the…
Dense particulate flow simulations using integral equation methods demand accurate evaluation of Stokes layer potentials on arbitrarily close interfaces. In this paper, we generalize techniques for close evaluation of Laplace double-layer…
Black-Scholes implied volatility is a quantile. The insight follows from the normalized option price being a probability on the variance scale, with the inverse Gaussian distribution providing the link. It enables analytically exact and…
This paper introduces a new method for solving the planar heat equation based on the Lightning Method. The lightning method is a recent development in the numerical solution of linear PDEs which expresses solutions using sums of polynomials…
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a…
The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American style of vanilla options that can be modelled by class of…
In contrast with classical Schwarz theory, recent results in computational chemistry have shown that for special domain geometries, the one-level parallel Schwarz method can be scalable. This property is not true in general, and the issue…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
This paper presents a new approach for solving the close evaluation problem in three dimensions, commonly encountered while solving linear elliptic partial differential equations via potential theory. The goal is to evaluate layer…
This work develops an algorithm for PDE-constrained shape optimization based on Lipschitz transformations. Building on previous work in this field, the $p$-Laplace operator is utilized to approximate a descent method for Lipschitz shapes.…
The Black-Scholes option pricing model remains a cornerstone in financial mathematics, yet its application is often challenged by the need for accurate hedging strategies, especially in dynamic market environments. This paper presents a…
We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also provide precise boundaries for the…
In this paper, we focus on the tempered subdiffusive Black-Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing…
The pole condition approach for deriving transparent boundary conditions is extended to the time-dependent, two-dimensional case. Non-physical modes of the solution are identified by the position of poles of the solution's spatial Laplace…
We consider a model of linear market impact, and address the problem of replicating a contingent claim in this framework. We derive a non-linear Black-Scholes Equation that provides an exact replication strategy. This equation is fully…