Related papers: A series representation for the Black-Scholes form…
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…
Usually, in the Black-Scholes pricing theory the volatility is a positive real parameter. Here we explore what happens if it is allowed to be a complex number. The function for pricing a European option with a complex volatility has…
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…
A result about projections of Gibbs measures from a particular class arising in economic modeling is proved.
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…
We generalize the classical Bernstein theorem concerning the constructive description of classes of functions uniformly continuous on the real line. The approximation of continuous bounded functions by entire functions of exponential type…
We survey the classical results of the Dirichlet Approximation Theorem.
In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our…
This paper focuses on the equivalent expression of fractional integrals/derivatives with an infinite series. A universal framework for fractional Taylor series is developed by expanding an analytic function at the initial instant or the…
In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading…
We revisit Margulis-Zimmer Super-Rigidity and provide some generalizations. In particular we obtain super-rigidity results for lattices in higher-rank groups or product of groups, targeting at algebraic groups over arbitrary fields with…
We propose a novel Black-Scholes model under which the stock price processes are modeled by stochastic differential equations driven by sub-diffusions. The new framework can capture the less financial activity phenomenon during the bear…
We derive a general formula for the product of two Dirichlet series that satisfy Hecke's functional equation. Several examples are provided to demonstrate the applicability of the formula. In addition, we discuss prior work on similar…
Capture calculus has recently been proposed as a solution to effect checking, achieved by tracking the captured references of terms in the types. Boxes, along with the box and unbox operations, are a crucial construct in capture calculus,…
It has been shown that a functional interpretation of proofs in mathematical analysis can be given by the product of selection functions, a mode of recursion that has an intuitive reading in terms of the computation of optimal strategies in…
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method how to transform the problem into a…
Sufficient statistics are derived for the population size and parameters of commonly used closed population mark-recapture models. Rao-Blackwellization details for improving estimators that are not functions of the statistics are presented.…
We train neural networks to learn optimal replication strategies for an option when two replicating instruments are available, namely the underlying and a hedging option. If the price of the hedging option matches that of the Black--Scholes…
The computation of Greeks for exponential L\'evy models are usually approached by Malliavin Calculus and other methods, as the Likelihood Ratio and the finite difference method. In this paper we obtain exact formulas for Greeks of European…
In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent variational…