Related papers: On a free boundary problem for an American put opt…
We examine boundary regularity for a fully nonlinear free transmission problem. We argue using approximation methods, comparing the operators driving the problem with a limiting profile. Working natural conditions on the data of the…
We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We…
In this article, we study the problem of pricing defaultable bond with discrete default intensity and barrier under constant risk free short rate using higher order binary options and their integrals. In our credit risk model, the risk free…
We consider viscosity solution to one-phase free boundary problems for general fully nonlinear operators and free boundary condition depending on the normal vector. We show existence of viscosity solutions via the Perron's method and we…
A Levy-driven Ornstein-Uhlenbeck process is proposed to model the evolution of the risk-free rate and default intensities for the purpose of evaluating option contracts on a credit index. Time evolution in credit markets is assumed to…
We study the free boundary problem for the flow of a compressible isentropic inviscid elastic fluid. At the free boundary moving with the velocity of the fluid particles the columns of the deformation gradient are tangent to the boundary…
Recently, we have proposed a new free boundary problem representing the bread baking process in a hot oven. Unknown functions in this problem are the position of the evaporation front, the temperature field and the water content. For…
Finite difference approximations to multi-asset American put option price are considered. The assets are modelled as a multi-dimensional diffusion process with variable drift and volatility. Approximation error of order one quarter with…
The semi-geostrophic system is widely used in the modelling of large-scale atmospheric flows. In this paper, we prove existence of solutions of the incompressible semi-geostrophic equations in a fully three-dimensional domain with a free…
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with…
We consider the approximation scheme of the American call option via the discrete Morse semiflow. It is the minimizing scheme of a time-semidiscretized variational functional. In this paper we obtain a rate of convergence of approximate…
We consider the initial boundary value problem for free-evolution formulations of general relativity coupled to a parametrized family of coordinate conditions that includes both the moving puncture and harmonic gauges. We concentrate…
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in…
We consider the motion of a rigid body due to the pressure of a surrounded two-dimensional irrotational perfect incompressible fluid, the whole system being confined in a bounded domain with an impermeable condition on a part of the…
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European…
Vecer derived a degenerate parabolic equation with a boundary condition characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to such a problem but…
Stability and boundedness analysis for vector nonlinear systems with variable delays and coefficients remains challenging due to the conservatism of existing methods. Moreover, estimates of the transient behavior of solution norms remain…
We study a free boundary problem which is motivated by a particular case of the flow of a non-Newtonian fluid, with a pressure depending yield stress given by a Drucker-Prager plasticity criterion. We focus on the steady case and…
We consider a two-asset non-linear model of option pricing in an environment where the correlation is not known precisely, but varies between two known values. First we discuss the non-negativity of the solution of the equation. Next, we…
In this paper, we study a free boundary problem for a class of parabolic-elliptic type chemotaxis model in high dimensional symmetry domain \Omega. By using the contraction mapping principle and operator semigroup approach, we establish the…