Related papers: New Financial Research Program: General Option-Pri…
Panel data are modern statistical tools which are commonly used in all kinds of econometric problems under various regularity assumptions. The panel data models with changepoints are introduced together with atomic pursuit methods and they…
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his…
The Hyperbolic Nonlinear Schrodinger equation (HypNLS) arises as a model for the dynamics of three-dimensional narrowband deep water gravity waves. In this study, the Petviashvili method is exploited to numerically compute bi-periodic…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
We present an arbitrary-order spectral element method for general-purpose simulation of non-overturning water waves, described by fully nonlinear potential theory. The method can be viewed as a high-order extension of the classical finite…
In this paper, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…
The purpose of this review paper is to present our recent results on nonlinear and nonlocal mathematical models arising from modern financial mathematics. It is based on our four papers written jointly by J. Cruz, M. Grossinho, D. Sevcovic,…
A dynamic procedure for the Lagrangian Averaged Navier-Stokes-$\alpha$ (LANS-$\alpha$) equations is developed where the variation in the parameter $\alpha$ in the direction of anisotropy is determined in a self-consistent way from data…
Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function with the series coefficients, allows to recover the density…
One of the most interesting problems discerned when applying the Black--Scholes model to financial derivatives, is reconciling the deviation between expected and observed values. In our recent work, we derived a new model based on the…
Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations require only a normal CDF and…
A non-Bayesian, regression-based or generalized least squares (GLS)-based approach is formally proposed to estimate a class of time-varying AR parameter models. This approach has partly been used by Ito et al. (2014, 2016a,b), and is proven…
Options have provided a field of much study because of the complexity involved in pricing them. The Black-Scholes equations were developed to price options but they are only valid for European styled options. There is added complexity when…
Option pricing theory, such as the Black and Scholes (1973) model, provides an explicit solution to construct a strategy that perfectly hedges an option in a continuous-time setting. In practice, however, trading occurs in discrete time and…
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…
We extend the Lindquist-Rachev (LR) option-pricing framework--which values derivatives in markets lacking a traded risk-free bond--by introducing common Levy jump dynamics across two risky assets. The resulting endogenous "shadow" short…
We study asymptotic reductions and solitary waves of a weakly nonlocal defocusing nonlinear Schr\"odinger (NLS) model. The hydrodynamic form of the latter is analyzed by means of multiscale expansion methods. To the leading-order of…
We present an uncertainty-aware, physics-informed neural network (PINN) for option pricing that solves the Black--Scholes (BS) partial differential equation (PDE) as a mesh-free, global surrogate over $(S,t)$. The model embeds the BS…
This paper performs the numerical analysis and the computation of a Spread option in a market with imperfect liquidity. The number of shares traded in the stock market has a direct impact on the stock's price. Thus, we consider a…