Related papers: Well-Posedness and Comparison Principle for Option…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…
We study the initial-boundary value problem for the Majda-Biello system posed on the right half line. We prove local well-posedness on the half line, matching the local theory on the real line established by Oh (2008). The approach combines…
The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for wide enough…
We consider the problem of approximation of density functions which is important in the theory of pricing of basket options. Our method is well adopted to the multidimensional case. Observe that implementations of polynomial and spline…
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…
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…
The purpose of this review paper is to present our recent results on nonlinear and nonlocal mathematical models arising from modern financial mathematics. It is based on our four papers written jointly by J. Cruz, M. Grossinho, D. Sevcovic,…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Conditions are provided under which preservation of convexity…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness…
We consider a mixed dimensional elliptic partial differential equation posed in a bulk domain with a large number of embedded interfaces. In particular, we study well-posedness of the problem and regularity of the solution. We also propose…
This study investigates enhancing option pricing by extending the Black-Scholes model to include stochastic volatility and interest rate variability within the Partial Differential Equation (PDE). The PDE is solved using the finite…
We present high-order compact schemes for a linear second-order parabolic partial differential equation (PDE) with mixed second-order derivative terms in two spatial dimensions. The schemes are applied to option pricing PDE for a family of…
In this work we are interested in the well-posedness issues for the initial value problem associated with a higher order water wave model posed on a pe\-rio\-dic domain $\mathbb{T}$. We derive some multilinear estimates and use them in the…
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 article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to…
We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial…
This paper is concerned with the initial value problem for a system of one-dimensional fourth-order dispersive partial differential equations on the torus with nonlinearity involving derivatives up to second order. This paper gives…
We develop a model for indifference pricing in derivatives markets where price quotes have bid-ask spreads and finite quantities. The model quantifies the dependence of the prices and hedging portfolios on an investor's beliefs, risk…
We formulate a well-posedness and approximation theory for a class of generalised saddle point problems with a specific form of constraints. In this way we develop an approach to a class of fourth order elliptic partial differential…