Related papers: Boundary conditions for the single-factor term str…
We study existence and uniqueness of solutions to a class of nonlinear degenerate parabolic equations, in bounded domains. We show that there exists a unique solution which satisfies possibly inhomogeneous Dirichlet boundary conditions. To…
We present sufficient conditions for the existence of positive solutions for a class of fractional singular boundary value problems in presence of Caputo fractional derivative. Further, the nonlinearity involved has singularity with respect…
We propose a numerical procedure for computing the prices of European options, in which the underlying asset price is a Markovian strict local martingale. If the underlying process is a strict local martingale and the payoff is of linear…
Conditions of Stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon are provided. It seems to…
We study uniqueness of solutions to degenerate parabolic problems, posed in bounded domains, where no boundary conditions are imposed. Under suitable assumptions on the operator, uniqueness is obtained for solutions that satisfy an…
Convertible bonds give rise to the so-called free boundary; i.e., an unknown boundary between continuation and conversion regions of the bond. The characteristic feature of such a bond, with an extra call feature, is that the free boundary…
We study general properties such as the solution representation of a moving boundary value problem of the Black-Scholes equation, its min-max estimation, lower and upper gradient estimates, and strict monotonicity with respect to the…
In this paper, we establish the existence of a positive, bounded solution for a class of parabolic partial differential equations with nonlinear boundary conditions, where the boundary conditions depend on the solution on the boundary at a…
It is known that the price of call options in the Heston model is determined in a non-unique way. In this paper, this problem is analyzed from the point of view of the existing mathematical theory of uniqueness classes for degenerate…
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…
The aim of this paper is to draw attention to an interesting semilinear parabolic equation that arose when describing the chaotic dynamics of a polymer molecule in a liquid. This equation is nonlocal in time and contains a term, called the…
In this paper, we discuss singular Neumann boundary problem for a class of nonlinear parabolic equations in one space dimension. Our boundary problem describes motion of a planar curve sliding along the boundary with a zero contact angle,…
This article is concerned with the existence and uniqueness of solutions to some fractional order boundary value problems. Our results are based on some fixed point theorems. For the applicability of our results, we provide an example.
We prove an existence and uniqueness result for Neumann boundary problem of a parabolic partial differential equation (PDE for short) with a singular nonlinear divergence term which can only be understood in a weak sense. A probabilistic…
In this paper, we consider the Laplace equation with a class of indefinite superlinear boundary conditions and study the uniqueness of positive solutions that this problem possesses. Superlinear elliptic problems can be expected to have…
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all…
We consider an approach to credit risk in which the information about the time of bankruptcy is modelled using a Brownian bridge that starts at zero and is conditioned to equal zero when the default occurs. This raises the question whether…
We study the behaviour near a boundary point a of any positive solution of a nonlinear elliptic equations with forcing term which vanishes on the boundary except at a. Our results are based upon a priori estimates for solutions 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 consider an initial boundary value problem for a semilinear parabolic equation with nonlinear nonlocal boundary condition. We prove comparison principle, the existence theorem of a local solution and study the problem of…