Related papers: New Financial Research Program: General Option-Pri…
In this paper, we propose an adaptive high-order method for hyperbolic systems of conservation laws. The proposed method is based on a dual formulation approach: Two numerical solutions, corresponding to conservative and nonconservative…
An initial value problem of the one-dimensional nonlinear Schr\"odinger (NLS) equation with constant dispersive and nonlinear coefficients can be solved using a compact finite difference scheme (Xie, Li, & Yi, 2009). A similar scheme is…
Flow in variably saturated porous media is typically modelled by the Richards equation, a nonlinear elliptic-parabolic equation which is notoriously challenging to solve numerically. In this paper, we propose a robust and fast iterative…
This work is concerned with the study of explicit solutions for a generalized coupled nonlinear Schr\"{o}dinger equations (NLS) system with variable coefficients. Indeed, we show, employing similarity transformations, the existence of Rogue…
In this paper we consider the pricing of options on interest rates such as caplets and swaptions in the L\'evy Libor model developed by Eberlein and \"Ozkan (2005). This model is an extension to L\'evy driving processes of the classical…
Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model the evolution of various financial variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted to pricing…
This investigation establishes a formal equivalence between the generalized Black-Scholes equation under a Quadratic Normal Volatility (QNV) specification and the stationary Schr\"odinger equation for a hyperbolic P\"oschl-Teller potential.…
The two-dimensional cubic nonlinear Schrodinger equation (NLS) can be used as a model of phenomena in physical systems ranging from waves on deep water to pulses in optical fibers. In this paper, we establish that every one-dimensional…
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…
The interaction between two co-propagating electrostatic wavepackets characterized by arbitrary carrier wavenumber is considered. A one-dimensional (1D) non-magnetized plasma model is adopted, consisting of a cold inertial ion fluid…
This thesis deals with mathematical and physical aspects of deterministic freak wave generation in a hydrodynamic laboratory. We adopt the nonlinear Schr\"odinger (NLS) equation as a mathematical model for the evolution of the surface…
This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is approximated by a discrete time Markov chain with the same…
In linear science, the wave motion equation with general D'Alembert wave solutions is one of the fundamental models. The D'Alembert wave is an arbitrary travelling wave moving along one direction under a fixed model (material) dependent…
Accurate prediction of electricity day-ahead prices is essential in competitive electricity markets. Although stationary electricity-price forecasting techniques have received considerable attention, research on non-stationary methods is…
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…
The nonlinear Schr\"odinger equation (NLSE) is a rich and versatile model, which in one spatial dimension has stationary solutions similar to those of the linear Schr\"odinger equation as well as more exotic solutions such as solitary waves…
It is universally accepted that the cubic, nonlinear Schrodinger equation (NLS) models the dynamics of narrow-bandwidth wave packets consisting of short dispersive waves, while the Kortewegde Vries equation (KdV) models the propagation of…
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based on expansions of the mixing representation of the put option…
The purpose of this paper is to analyze the problem of option pricing when the short rate follows subdiffusive fractional Merton model. We incorporate the stochastic nature of the short rate in our option valuation model and derive explicit…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…