Related papers: Removing non-smoothness in solving Black-Scholes e…
This paper explores the use of the multinode Shepard method for the numerical solution of the two-dimensional Black-Scholes equation. The proposed approach integrates a spatial approximation via the multinode Shepard operator with a…
Deep hedging is a framework for hedging derivatives in the presence of market frictions. In this study, we focus on the problem of hedging a given target option by using multiple options. To extend the deep hedging framework to this…
We present a compact parametric representation of the smooth bright multisolution solutions for the modified Camassa-Holm (mCH) equation with cubic nonlinearity. We first transform the mCH equation to an associated mCH equation through a…
Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) models, such as the…
A variational quantum algorithm for numerically solving partial differential equations (PDEs) on a quantum computer was proposed by Lubasch et al. In this paper, we generalize the method introduced by Lubasch et al. to cover a broader class…
Black-Scholes (BS) is the standard mathematical model for option pricing in financial markets. Option prices are calculated using an analytical formula whose main inputs are strike (at which price to exercise) and volatility. The BS…
This paper studies finite element approximations of the stochastic Allen-Cahn equation with gradient-type multiplicative noises that are white in time and correlated in space. The sharp interface limit as the parameter $\epsilon \rightarrow…
We present fully time-dependent solutions of accretion processes on black holes and compare them with analytical solutions. We use Smoothed Particle Hydrodynamics and Total Variation Diminishing mathods as the numerical tenchniques. Apart…
Black-hole perturbation theory is a useful tool to investigate issues in astrophysics, high-energy physics, and fundamental problems in gravity. It is often complementary to fully-fledged nonlinear evolutions and instrumental to interpret…
Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the…
The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is described by the Black-Scholes formula, one of the most…
In this paper we provide a quantum Monte Carlo algorithm to solve multidimensional Black-Scholes PDEs with correlation for option pricing. The payoff function of the option is of general form and is only required to be continuous and…
When approximating the expectations of a functional of a solution to a stochastic differential equation, the numerical performance of deterministic quadrature methods, such as sparse grid quadrature and quasi-Monte Carlo (QMC) methods, may…
We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
In this work, we consider a very simple gravitational theory that contains a scalar field with its kinetic and potential terms minimally coupled to gravity, while the scalar field is assumed to have a coulombic form. In the context of this…
The motion of glaciers can be simulated with the $p$-Stokes equations. Up to now, Newton's method to solve these equations has been analyzed in finite-dimensional settings only. We analyze the problem in infinite dimensions to gain a new…
The Accardi-Boukas quantum Black-Scholes equation can be used as an alternative to the classical approach to finance, and has been found to have a number of useful benefits. The quantum Kolmogorov backward equations, and associated quantum…
We obtain a class of solutions corresponding to a generalization of the Hayward black hole by solving the Einstein equations coupled to a particular nonlinear electromagnetic field. The generalization is realized by considering,…
We investigate some modifications of the static BTZ black hole solution due to a chosen asymptotically constant dilaton/scalar. New classes of static black hole solutions are obtained. One of the solutions contains the Martinez-Zanelli…
The incorporation of a dividend yield in the classical option pricing model of Black- Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market…