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In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
We establish a comparison principle for viscosity solutions of a class of nonlinear partial differential equations posed on the space of nonnegative finite measures, thereby extending recent results for PDEs defined on the Wasserstein space…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be…
We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two different ways: on the one hand, the problem is…
We introduce the notion of \delta-viscosity solutions for fully nonlinear uniformly parabolic PDE on bounded domains. We prove that \delta-viscosity solutions are uniformly close to the actual viscosity solution. As a consequence we obtain…
Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the…
We consider the Cauchy problem for a class of nonlinear degenerate parabolic equa- tion with forcing. By using the vanishing viscosity method we obtain generalized solutions. We prove some regularity results about this generalized…
In this paper, we propose a time-dependent viscous system and by using the vanishing viscosity method we show the existence of delta shock solution for a particular $2 \times 2$ system of conservation laws with linear damping.
In this paper, we propose a time-dependent viscous system and by using the vanishing viscosity method we show the existence of %delta shock solution solutions for the Riemann problem to a particular $2 \times 2$ system of conservation laws…
We study the vanishing viscosity method for the eikonal equation $|Du|=V$ in $B(0,1)$ with homogeneous Dirichlet boundary value condition. By assuming $V$ is radially symmetric and restricting attention to radially symmetric solutions, we…
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option. For dynamic trading in the underlying asset and this…
The main objective of this paper and the accompanying one \cite{ETZ2} is to provide a notion of viscosity solutions for fully nonlinear parabolic path-dependent PDEs. Our definition extends our previous work \cite{EKTZ}, focused on the…
In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman-Kac…
In this note we consider the approximation of the Greeks Delta and Gamma of American-style options through the numerical solution of time-dependent partial differential complementarity problems (PDCPs). This approach is very attractive as…
Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE based option pricing models can be described by solutions to the generalized Black-Scholes parabolic…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDEs given as a sup--envelope function. This is done through a dynamic programming principle derived from Denis, Hu, Peng (2010). The…
This study deals with the problem of pricing European currency options in discrete time setting, whose prices follow the fractional Black Scholes model with transaction costs. Both the pricing formula and the fractional partial differential…
We extend the theory of viscosity solutions to treat scalar-valued doubly-nonlinear evolution equations. Such equations arise naturally in many mechanical models including a dry friction. After providing a suitable definition for…
We introduce a notion of viscosity solutions for a general class of elliptic-parabolic phase transition problems. These include the Richards equation, which is a classical model in filtration theory. Existence and uniqueness results are…
We provide a representation formula for viscosity solutions to an elliptic Dirichlet problem involving Pucci's extremal operators. This is done through a dynamic programming principle derived from Denis, Hu and Peng (2010). The formula can…