Related papers: Removing non-smoothness in solving Black-Scholes e…
This research addresses accurate option pricing by employing models beyond the traditional Black-Scholes framework. While Black-Scholes provides a closed-form solution, it is limited by assumptions of constant volatility, no dividends, and…
In this paper, we construct quantum circuits for the Black-Scholes equations, a cornerstone of financial modeling, based on a quantum algorithm that overcome the cure of high dimensionality. Our approach leverages the Schr\"odingerisation…
This paper deals with an extension of the so-called Black-Scholes model in which the volatility is modeled by a linear combination of the components of the solution of a differential equation driven by a fractional Brownian motion of Hurst…
We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the current note is that we study the constrained case where the…
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain transformation of the free boundary problem into a parabolic…
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The novel and general equation works for options with a payoff of homogeneous of degree one, including European,…
In this paper, a class of smoothing modulus-based iterative method was presented for solving implicit complementarity problems. The main idea was to transform the implicit complementarity problem into an equivalent implicit fixed-point…
We present a method which allows to deform extremal black hole solutions into non-extremal solutions, for a large class of supersymmetric and non-supersymmetric Einstein-Vector-Scalar type theories. The deformation is shown to be largely…
We study a variant of Newton's algorithm applied to under-determined systems of non-smooth equations. The notion of regularity employed in our work is based on Newton differentiability, which generalizes semi-smoothness. The classic notion…
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also provide precise boundaries for the…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
The time-fractional Black-Scholes equation (TFBSE) is intended to price the options for which the underlying price fluctuates within a correlated fractal transmission system. Although the TFBSE is an influential approach for grasping the…
We show how to derive the Black-Scholes model and its generalisation to the `exchange-option' (to exchange one asset for another) via the continuum limit of the Binomial tree. No knowledge of stochastic calculus or partial differential…
Since the introduction of the Black-Scholes model stochastic processes have played an increasingly important role in mathematical finance. In many cases prices, volatility and other quantities can be modeled using stochastic ordinary…
Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893-916]. As an application, we propose a Newton-Raphson…
We discuss in this note applications of the Multidimensional Positive Definite Advection Transport Algorithm (MPDATA) to numerical solutions of partial differential equations arising from stochastic models in quantitative finance. In…
Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations…
We study the linear perturbations about a nonrotating black hole solution of Horndeski's theory, using a systematic approach that extracts the asymptotic behaviour of perturbations (at spatial infinity and near the horizon) directly from…
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…