Related papers: Laplace transformation method for the Black-Schole…
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale invariance that exists in the theory of contingent claim…
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain transformation of the free boundary problem into a parabolic…
We recently proposed a method for estimation of states and parameters in stochastic differential equations, which included intermediate time points between observations and used the Laplace approximation to integrate out these intermediate…
We propose the approximate Laplace approximation (ALA) to evaluate integrated likelihoods, a bottleneck in Bayesian model selection. The Laplace approximation (LA) is a popular tool that speeds up such computation and equips strong model…
New high statistics data from the second generation of ultrarelativistic heavy-ion experiments open up new possibilities in terms of data analysis. To fully utilize the potential we propose to analyze the $m_\perp$-spectra of hadrons using…
We present an extension of an algorithm for the classical scalar $p$-Laplace Dirichlet problem to the vector-valued $p$-Laplacian with mixed boundary conditions in order to solve problems occurring in shape optimization using a $p$-harmonic…
We represent in this note the solutions of the electronic Schr\"odinger equation as traces of higher-dimensional functions. This allows to decouple the electron-electron interaction potential but comes at the price of a degenerate elliptic…
G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…
We study general properties such as the solution representation of a moving boundary value problem of the Black-Scholes equation, its min-max estimation, lower and upper gradient estimates, and strict monotonicity with respect to the…
In this paper a new method for inverting the Laplace transform from the real axis is formulated. This method is based on a quadrature formula. We assume that the unknown function $f(t)$ is continuous with (known) compact support. An…
We proposed classification models that utilize the result from the Quasi-Reversibility Method, which solves the Black-Scholes equation to forecast the option prices one day in advance. Combining the minimizer from QRM with our machine…
In this research work, let us focus on the construction of numerical scheme based on radial basis functions finite difference (RBF-FD) method combined with the Laplace transform for the solution of fractional order dispersive wave…
In this book, there are five chapters: The Laplace Transform, Systems of Homogeneous Linear Differential Equations (HLDE), Methods of First and Higher Orders Differential Equations, Extended Methods of First and Higher Orders Differential…
The efficient inversion of matrix polynomials is a critical challenge in computational mathematics. We design a procedure to determine the inverse of matrices polynomial of multidimensional Laplace matrices. The method is based on…
The purpose of this study is twofold. First, we revisit a shape optimization reformulation of a prototypical shape inverse problem and briefly propose a simple yet efficient numerical approach for solving the corresponding minimization…
In this paper we introduce the concept of standardized call function and we obtain a new approximating formula for the Black and Scholes call function through the hyperbolic tangent. This formula is useful for pricing and risk management as…
In this work, we present a quantum algorithm designed to solve the differential equation used in the pricing of Asian options, in the framework of the Black-Scholes model. Our approach modifies an existing quantum pre-conditioning method…
Walk on Spheres algorithms leverage properties of Brownian Motion to create Monte Carlo estimates of solutions to a class of elliptic partial differential equations. We propose a new caching strategy which leverages the continuity of paths…
The Laplace eigenvalue problem on circular sectors has eigenfunctions with corner singularities. Standard methods may produce suboptimal approximation results. To address this issue, a novel numerical algorithm that enhances standard…
Convolution quadrature (CQ) methods have enjoyed tremendous interest in recent years as an efficient tool for solving time-domain wave problems in unbounded domains via boundary integral equation techniques. In this paper we consider CQ…