Related papers: A fitted L-Multi-point Flux Approximation method f…
In this work, we present a quantum algorithm designed to solve the differential equation used in the pricing of Asian options, in the framework of the Black-Scholes model. Our approach modifies an existing quantum pre-conditioning method…
In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its…
Bandit methods for black-box optimisation, such as Bayesian optimisation, are used in a variety of applications including hyper-parameter tuning and experiment design. Recently, \emph{multi-fidelity} methods have garnered considerable…
The aim of this work is to propose a provably convergent finite volume scheme for the so-called Stefan-Maxwell model, which describes the evolution of the composition of a multi-component mixture and reads as a cross-diffusion system. The…
One of the most fundamental questions in quantitative finance is the existence of continuous-time diffusion models that fit market prices of a given set of options. Traditionally, one employs a mix of intuition, theoretical and empirical…
In this paper, we consider multipoint flux mixed finite element discretizations for slightly compressible Darcy flow in porous media. The methods are formulated on general meshes composed of triangles, quadrilaterals, tetrahedra or…
We investigate the connections between several recent methods for the discretization of anisotropic heterogeneous diffusion operators on general grids. We prove that the Mimetic Finite Difference scheme, the Hybrid Finite Volume scheme and…
An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem. Difficulties in applying standard numerical methods to complex…
This paper presents a general formulation of the CIP/multi-moment finite volume method (CIP/MM FVM) for arbitrary order of accuracy. Reconstruction up to arbitrary order can be built on single cell by adding extra derivative moments at the…
We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian options are derivative contracts in which the underlying variable…
Multi-objective model predictive control (MOMPC) for fixed point stabilization requires an automated a priori decision-making (DM) mechanism to translate a high-level preference into a single solution. To this aim, we introduce an approach…
Motivated by problems where the response is needed at select localized regions in a large computational domain, we devise a novel finite element discretization that results in exponential convergence at pre-selected points. The two key…
We consider the numerical approximation of single phase flow in porous media by a mixed finite element method with mass lumping. Our work extends previous results of Wheeler and Yotov, who showed that mass lumping together with an…
This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on…
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 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 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…
There has been an increasing interest in developing efficient immersed boundary method (IBM) based on Cartesian grids, recently in the context of high-order methods. IBM based on volume penalization is a robust and easy to implement method…
Optimal pricing of European call option is described by linear stochastic differential equation. Trading strategy given by a twin of stochastic variables was integrated w.r.t. Black-Scholes formula to adopt optimal pricing to tarading…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…