Related papers: Explicit RKF-Compact Scheme for Pricing Regime Swi…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
Nowadays many financial derivatives, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives rise to high-dimensional optimal stopping problems, since the dimension corresponds to…
Use of explicit methods for simulating electrical circuits, especially for power electronics applications, is described. Application of the forward Euler method to a half-wave rectifier is discussed, and the limitations of a fixed-step…
In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier,…
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jorgensen 2000) by including a continuous dividend rate $q$ and a general method of averaging of the floating strike. We focus on…
European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. American option prices can be obtained by solving…
We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the volatility surface. The pricing of an…
It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jump-diffusion and Levy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the…
In this paper, we extend the 3/2-model for VIX studied by Goard and Mazur (2013) and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options and,…
Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be…
This paper considers the problem of adapting a predesigned policy, represented by a parameterized function class, from a solution that minimizes a given original cost function to a trade-off solution between minimizing the original…
A leveraged exchange traded fund (LETF) is an exchange traded fund that uses financial derivatives to amplify the price changes of a basket of goods. In this paper, we consider the robust hedging of European options on a LETF, finding…
This paper starts by defining the criteria where the early-exercise of an American option is never optimal, under positive, or negative rates. It follows with a short analysis of the various shapes of the exercise region under negative…
The nonlinear gyrokinetic equations describe plasma turbulence in laboratory and astrophysical plasmas. To solve these equations, massively parallel codes have been developed and run on present-day supercomputers. This paper describes…
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…
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a…
We propose an experimental study of adaptive time-stepping methods for efficient modeling of the aggregation-fragmentation kinetics. Precise modeling of this phenomena usually requires utilization of the large systems of nonlinear ordinary…
Irksome is a library based on the Unified Form Language (UFL) that enables automated generation of Runge--Kutta methods for time-stepping finite element spatial discretizations of partial differential equations (PDE). Allowing users to…
In this paper, we develop novel numerical methods based on the Multi-Point Flux Approximation (MPFA) method to solve the degenerated partial differential equation (PDE) arising from pricing two-assets options. The standard MPFA is used as…
A practical and efficient scheme for the higher order integration of the Landau-Lifschitz-Gilbert (LLG) equation is presented. The method is based on extrapolation of the two-step explicit midpoint rule and incorporates adaptive time step…