Related papers: Extra-Dimensional Approach to Option Pricing and S…
Recently, a number of authors have investigated the conditions under which a stochastic perturbation acting on an infinite dimensional dynamical system, e.g. a partial differential equation, makes the system ergodic and mixing. In…
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type conditions. Error estimates for such type…
We address some issues in higher-derivative gauged supergravity with Chern-Simons terms, focusing on the five-dimensional case. We discuss the variational problem with Dirichlet boundary conditions as well as holographic renormalization in…
A change of variables is introduced to reduce certain nonlinear stochastic evolution equations with multiplicative noise to the corresponding deterministic equation. The result is then used to investigate a stochastic porous medium…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
In this paper we consider a class of static spacetimes in higher dimensional ($D \ge 4$) scalar-torsion theories with non-minimal derivative coupling and the scalar potential turned on. The spacetime is conformal to a product space of a…
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion. First, we show that the model is…
A finite-state Markov chain is introduced in the noise terms of the three-dimensional stochastic Navier-Stokes equations in order to allow for transitions between two types of multiplicative noises. We call such systems as stochastic…
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
We extend the work of Tanase-Nicola and Kurchan on the structure of diffusion processes and the associated supersymmetry algebra by examining the responses of a simple statistical system to external disturbances of various kinds. We…
For a class of evolution equations that possibly have only local solutions, we introduce a stochastic component that ensures that the solutions of the corresponding stochastically perturbed equations are global. The class of partial…
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
Stochastic differential equations and stochastic dynamics are good models to describe stochastic phenomena in real world. In this paper, we study N independent stochastic processes Xi(t) with real entries and the processes are determined by…
Empirical studies show that the volatility may exhibit correlations that decay as a fractional power of the time offset. The paper presents a rigorous analysis for the case when the stationary stochastic volatility model is constructed in…
We study the state-space geometry of various extremal and nonextremal black holes in string theory. From the notion of the intrinsic geometry, we offer a new perspective of black hole vacuum fluctuations. For a given black hole entropy, we…
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation…
We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that…