Related papers: Option Pricing Models Driven by the Space-Time Fra…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
Diffusion models have been widely used in time series and spatio-temporal data, enhancing generative, inferential, and downstream capabilities. These models are applied across diverse fields such as healthcare, recommendation, climate,…
In this paper, we focus on the tempered subdiffusive Black-Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing…
Time-frequency representations are important for the analysis of time series. We have developed an online time-series analysis system and equipped it to reliably handle re-alignment in the time-frequency plane. The system can deal with…
In a previous paper \cite{MakingPredictions}, a method of comparing the volumes of thermalized regions in eternally inflating universe was introduced. In this paper, we investigate the dependence of the results obtained through that method…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fractional diffusion model with moving boundary i.e. American…
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional L\'evy process. We set up a valuation model in…
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American…
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
In this paper, we consider option pricing in a framework of the fractional Heston-type model with $H>1/2$. As it is impossible to obtain an explicit formula for the expectation $\mathbb E f(S_T)$ in this case, where $S_T$ is the asset price…
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model. The main goal is to improve the precision and authenticity of option…
Super-diffusion, characterized by a spreading rate $t^{1/\alpha}$ of the probability density function $p(x,t) = t^{-1/\alpha} p \left( t^{-1/\alpha} x , 1 \right)$, where $t$ is time, may be modeled by space-fractional diffusion equations…
We investigate diffusion equations with time-fractional derivatives of space-dependent variable order. We examine the well-posedness issue and prove that the space-dependent variable order coefficient is uniquely determined among other…
There has been considerable recent study in "sub-diffusion" models that replace the standard parabolic equation model by a one with a fractional derivative in the time variable. There are many ways to look at this newer approach and one…
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…