Related papers: Removing non-smoothness in solving Black-Scholes e…
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a…
We invert the Black-Scholes formula. We consider the cases low strike, large strike, short maturity and large maturity. We give explicitly the first 5 terms of the expansions. A method to compute all the terms by induction is also given. At…
This article is focused on the asymptotic expansions, as time tends to infinity, of solutions of a system of ordinary differential equations with non-smooth nonlinear terms. The forcing function decays to zero in a very complicated but…
Wave propagation problems have many applications in physics and engineering, and the stochastic effects are important in accurately modeling them due to the uncertainty of the media. This paper considers and analyzes a fully discrete finite…
This paper develops and analyzes a fully discrete finite element method for a class of semilinear stochastic partial differential equations (SPDEs) with multiplicative noise. The nonlinearity in the diffusion term of the SPDEs is assumed to…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic…
The Immersed Boundary method is a simple, efficient, and robust numerical scheme for solving PDE in general domains, yet for fluid problems it only achieves first-order spatial accuracy near embedded boundaries for the velocity field and…
We propose the deep parametric PDE method to solve high-dimensional parametric partial differential equations. A single neural network approximates the solution of a whole family of PDEs after being trained without the need of sample…
One of the most promising avenues to perform numerical evolutions in theories beyond General Relativity is the fixing-the-equations approach, a proposal in which new ``driver'' equations are added to the evolution equations in a way that…
We introduce a new method for solving nonlinear continuous optimization problems with chance constraints. Our method is based on a reformulation of the probabilistic constraint as a quantile function. The quantile function is approximated…
In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying…
In this paper, our aim is to investigate necessary conditions for optimal investment. We model the wealth process by Backward differential stochastic equations (shortly for BSDE) with or without constraints on wealth and portfolio process.…
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation. First, for a generic market dynamics given by a multidimensional It\^o's process we…
Solving Einstein's constraint equations for the construction of black hole initial data requires handling the black hole singularity. Typically, this is done either with the excision method, in which the black hole interior is excised from…
We perform stability analysis of an accretion disc around a stellar mass black hole. The cooling of the accretion flow due to bremsstrahlung and synchrotron radiation processes are considered. The solutions with shock are perturbed at the…
In this paper, a new numerical method based on adaptive gradient descent optimizers is provided for computing the implied volatility from the Black-Scholes (B-S) option pricing model. It is shown that the new method is more accurate than…
The inclusion of higher derivative terms in the gravitational action brings about corrections to the original forms of black hole solutions and thermodynamics. A simple and valuable approach has emerged over two decades ago, which states…
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter $q$. A generalized form of the Black-Scholes (B-S) partial differential…
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…