Related papers: On a free boundary problem for an American put opt…
This paper concerns autonomous boundary value problems for 1D semilinear hyperbolic PDEs. For time-periodic classical solutions, which satisfy a certain non-resonance condition, we show the following: If the PDEs are continuous with respect…
The CEV model subsumes some of the previous option pricing models. An important parameter in the model is the parameter b, the elasticity of volatility. For b=0, b=-1/2, and b=-1 the CEV model reduces respectively to the BSM model, the…
Evolution PDEs for dispersive waves are considered in both linear and nonlinear integrable cases, and initial-boundary value problems associated with them are formulated in spectral space. A method of solution is presented, which is based…
A tube conveying a large amount of fluid with a free outlet does not sit still. We construct and analyze a nonlinear evolution equation describing such phenomena. Two types of boundary conditions at the inlet are considered, one for which…
In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-arbitrage requirement implies that the differential (foreign…
In this work, we investigate the continuity of the free boundary in a class of elliptic problems, with Neuman boundary condition. The main idea is a change of variable that allows us to reduce the problem to the one studied in [14].
This paper is concerned with the free boundary value problem for multi-dimensional Navier-Stokes equations with density-dependent viscosity where the flow density vanishes continuously across the free boundary. A local (in time) existence…
In this paper, we study a version of the perpetual American call/put option where exercise opportunities arrive only periodically. Focusing on the exponential L\'evy models with i.i.d. exponentially-distributed exercise intervals, we show…
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of Variance (CEV) model. We present an analytical…
We consider a free boundary problem in an exterior domain \begin{cases}\begin{array}{cc} Lu=g(u) & \text{in }\Omega\setminus K, \\ u=1 & \text{on }\partial K,\\ |\nabla u|=0 &\text{on }\partial \Omega, \end{array}\end{cases} where $K$ is a…
We investigate the free-Fermion point of a boundary sine-Gordon model with nondiagonal boundary interactions for the ground state using auxiliary functions, obtained from T-Q equations of a corresponding inhomogeneous open spin-1/2 XXZ…
The dynamical and stationary behaviors of a fourth-order evolution equation with clamped boundary conditions and a singular nonlocal reaction term, which is coupled to an elliptic free boundary problem on a non-smooth domain, are…
This article presents a finite element method (FEM) for a partial integro-differential equation (PIDE) to price two-asset options with underlying price processes modeled by an exponential Levy process. We provide a variational formulation…
We study the obstacle problem associated with the American chooser option. The obstacle is given by the maximum of an American call option and an American put option, which, in turn, can be expressed as the maximum of the solutions to the…
The aim of this paper is to study a free boundary problem for a uniformly elliptic fully non-linear operator. Under certain assumptions we show that free and fixed boundaries meet tangentially at contact points.
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…
We study boundary value problems posed in a semistrip for the elliptic sine-Gordon equation, which is the paradigm of an elliptic integrable PDE in two variables. We use the method introduced by one of the authors, which provides a…
We study the free boundary of the porous medium equation with nonlocal drifts in dimension one. Under the assumption that the initial data has super-quadratic growth at the free boundary, we show that the solution is smooth in space and…
Let $\Omega \subset \mathbb{R}^N$, $N\ge 2$, be an open, connected, bounded set with $C^2$ boundary. In this paper we consider the torsion problem with Robin boundary conditions and we study the symmetry of the solutions when suitable extra…
In this work, we establish a class of globally defined, large solutions to the free boundary problem of compressible Navier-Stokes equations with constant shear viscosity and vanishing bulk viscosity. We establish such solutions with…