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We propose a hybrid quantum-classical algorithm, originated from quantum chemistry, to price European and Asian options in the Black-Scholes model. Our approach is based on the equivalence between the pricing partial differential equation…
Semi-discrete and fully discrete mixed finite element methods are considered for Maxwell-model-based problems of wave propagation in linear viscoelastic solid. This mixed finite element framework allows the use of a large class of existing…
In this work, we give a generalized formulation of the Black-Scholes model. The novelty resides in considering the Black-Scholes model to be valid on 'average', but such that the pointwise option price dynamics depends on a measure…
Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) models, such as the…
In this paper, we are concerned with the shallow water flow model over non-flat bottom topography by high-order schemes. Most of the numerical schemes in the literature are developed from the original mathematical model of the shallow water…
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and…
The issue of developing simple Black-Scholes type approximations for pricing European options with large discrete dividends was popular since early 2000's with a few different approaches reported during the last 10 years. Moreover, it has…
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a…
The incorporation of a dividend yield in the classical option pricing model of Black- Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market…
In this paper, we study the benefits of using polyharmonic splines and node layouts with smoothly varying density for developing robust and efficient radial basis function generated finite difference (RBF-FD) methods for pricing of…
Multidimensional population balance models (PBMs) describe chemical and biological processes having a distribution over two or more intrinsic properties (such as size and age, or two independent spatial variables). The incorporation of…
The implicit compact finite-difference scheme was developed for evolutionary partial differential parabolic and Schr\"odinger-type equations and systems with a weak nonlinearity. To make a temporal step of the compact implicit scheme we…
This papers deals with a construction and convergence analysis of a finite difference scheme for solving time-fractional porous medium equation. The governing equation exhibits both nonlocal and nonlinear behaviour making the numerical…
The fractional Feynman-Kac equations describe the distribution of functionals of non-Brownian motion, or anomalous diffusion, including two types called the forward and backward fractional Feynman-Kac equations, where the fractional…
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…
In the present work, we propose a new multifactor stochastic volatility model in which slow factor of volatility is approximated by a parabolic arc. We retain ourselves to the perturbation technique to obtain approximate expression for…
This paper performs the numerical analysis and the computation of a Spread option in a market with imperfect liquidity. The number of shares traded in the stock market has a direct impact on the stock's price. Thus, we consider a…
In this paper, an efficient algorithm is presented by the extrapolation technique to improve the accuracy of finite difference schemes for solving the fractional boundary value problems with non-smooth solution. Two popular finite…
In a global derivatives market with notional values in the hundreds of trillions of dollars, the accuracy and efficiency of pricing models are of fundamental importance, with direct implications for risk management, capital allocation, and…
We develop a hybrid spatial discretization for the wave equation in second order form, based on high-order accurate finite difference methods and discontinuous Galerkin methods. The hybridization combines computational efficiency of finite…