Related papers: Recovery of time dependent volatility coefficient …
In this article we study inverse problems of recovering a space-time dependent source component from the lateral boundary observation in a subidffusion model. The mathematical model involves a Djrbashian-Caputo fractional derivative of…
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…
In this work, an inverse problem in the fractional diffusion equation with random source is considered. Statistical moments are used of the realizations of single point observation $u(x_0,t,\omega).$ We build the representation of the…
Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm \cite{Leland}. We prove several limit…
This paper tends to define the quantitative relationship between the stock price and time as a time function. Based on the empirical evidence that the log-return of a stock is the series of white noise, a mathematical model of the integral…
We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
In this paper, we study both the direct and inverse random source problems associated with the multi-term time-fractional diffusion-wave equation driven by a fractional Brownian motion. Regarding the direct problem, the well-posedness is…
We are concerned with time-dependent inverse source problems in elastodynamics. The source term is supposed to be the product of a spatial function and a temporal function with compact support. We present frequency-domain and time-domain…
We develop a linearized boundary control method for the inverse boundary value problem of determining a potential in the acoustic wave equation from the Neumann-to-Dirichlet map. When the linearization is at the zero potential, we derive a…
We study Vanna-Volga methods which are used to price first generation exotic options in the Foreign Exchange market. They are based on a rescaling of the correction to the Black-Scholes price through the so-called `probability of survival'…
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash…
This article proves the uniqueness for two kinds of inverse problems of identifying fractional orders in diffusion equations with multiple time-fractional derivatives by pointwise observation. By means of eigenfunction expansion and Laplace…
In this note, Black--Scholes implied volatility is expressed in terms of various optimisation problems. From these representations, upper and lower bounds are derived which hold uniformly across moneyness and call price. Various symmetries…
In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…
In this paper, we consider an inverse space-dependent source problem for a time-fractional diffusion equation. To deal with the ill-posedness of the problem, we transform the problem into an optimal control problem with total variational…
Drawing insights from the triumph of relativistic over classical mechanics when velocities approach the speed of light, we explore a similar improvement to the seminal Black-Scholes (Black and Scholes (1973)) option pricing formula by…
In this paper we consider the problem of finding bounds on the prices of options depending on multiple assets without assuming any underlying model on the price dynamics, but only the absence of arbitrage opportunities. We formulate this as…
We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models provides a feasible real market implementation. Closed form formulas…