Related papers: Removing non-smoothness in solving Black-Scholes e…
Adiabatic elimination is a standard tool in quantum optics, which produces an effective Hamiltonian for a relevant subspace of states, incorporating effects of its coupling to states with much higher unperturbed energy. It shares with…
We develop a novel technique through spectral decompositions to study the gravitational perturbations of a black hole, without needing to decouple the linearized field equations into master equations and separate their radial and angular…
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for Black--Scholes implied volatility is…
Detailed observations of phenomena involving black holes, be it via gravitational waves or more traditional electromagnetic means, can probe the strong field regime of the gravitational interaction. The prediction of features in such…
Solutions to scalar curvature equations have the property that all possible blow-up points are isolated, at least in low dimensions. This property is commonly used as the first step in the proofs of compactness. We show that this result…
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model…
A nonlinear wave alternative for the standard Black-Scholes option-pricing model is presented. The adaptive-wave model, representing 'controlled Brownian behavior' of financial markets, is formally defined by adaptive nonlinear…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…
Gradient-free/zeroth-order methods for black-box convex optimization have been extensively studied in the last decade with the main focus on oracle calls complexity. In this paper, besides the oracle complexity, we focus also on iteration…
In this work, we apply our newly proposed perturbative expansion technique to a quadratic growth FBSDE appearing in an incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion…
No analytic solution is known to date for a black hole in a compact dimension. We develop an analytic perturbation theory where the small parameter is the size of the black hole relative to the size of the compact dimension. We set up a…
We analyze a recent application of homotopy perturbation method to some heat-like and wave-like models and show that its main results are merely the Taylor expansions of exponential and hyperbolic functions. Besides, the authors require…
Solving bilevel optimization (BLO) problems to global optimality is generally intractable. A common surrogate is to compute a hyper-stationary point -- a stationary point of the hyper-objective function obtained by minimizing or maximizing…
The limitations of the classical Black-Scholes model are examined by comparing calculated and actual historical prices of European call options on stocks from several sectors of the S&P 500. Persistent differences between the two prices…
In this paper we introduce the concept of standardized call function and we obtain a new approximating formula for the Black and Scholes call function through the hyperbolic tangent. This formula is useful for pricing and risk management as…
In this paper we investigate a sub-diffusion equation for simulating the anomalous diffusion phenomenon in real physical environment. Based on an equivalent transformation of the original sub-diffusion equation followed by the use of a…
We derive a closed-form solution for the price of an average price as well as an average strike geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also…
In this paper, a class of nonlinear option pricing models involving transaction costs is considered. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a linear function of the option's…
Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes the Tsallis nonextensive entropy of index $q$. A generalized…
Variational inequalities can in general support distinct solutions. In this paper we study an algorithm for computing distinct solutions of a variational inequality, without varying the initial guess supplied to the solver. The central idea…