Related papers: Option Pricing under Multifactor Black-Scholes Mod…
Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the…
Pricing multi-asset options via the Black-Scholes PDE is limited by the curse of dimensionality: classical full-grid solvers scale exponentially in the number of underlyings and are effectively restricted to three assets. Practitioners…
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…
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 introduce a family of proximal discontinuous Galerkin methods for variational inequalities, focusing on the obstacle problem as a didactic example. Each member of this family is born from applying a different well-known nonconforming…
This paper establishes and analyzes a second-order accurate numerical scheme for the nonlinear partial integrodifferential equation with a weakly singular kernel. In the time direction, we apply the Crank-Nicolson method for the time…
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter…
This note revisits the SWIFT method based on Shannon wavelets to price European options under models with a known characteristic function in 2023. In particular, it discusses some possible improvements and exposes some concrete drawbacks of…
The aim of this work is to introduce and analyze a finite element discontinuous Galerkin method on polygonal meshes for the numerical discretization of acoustic waves propagation through poroelastic materials. Wave propagation is modeled by…
We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price. Previously, this was proven for the…
We consider a model initial- and Dirichlet boundary- value problem for a fourth-order linear stochastic parabolic equation, in one space dimension, forced by an additive space-time white noise. First, we approximate its solution by the…
A unified analytical pricing framework with involvement of the shot noise random process has been introduced and elaborated. Two exactly solvable new models have been developed. The first model has been designed to value options. It is…
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, the indifference price is formulated as a…
We consider a simple initial-boundary-value problem for the shallow water equations in one space dimension. We discretize the problem in space by the standard Galerkin finite element method on a quasiuniform mesh and in time by the…
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based on expansions of the mixing representation of the put option…
In this paper, we present a computationally efficient technique based on the \emph{Method of Lines} (MOL) for the approximation of the Bermudan option values via the associated partial differential equations (PDEs). The MOL converts the…
This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model. The main goal is to improve the precision and authenticity of option…
A Galerkin method is developed to solve the time-dependent Dirac equation in prolate spheroidal coordinates for an electron-molecular two-center system. The initial state is evaluated from a variational principle using a kinetic/atomic…
The present work focuses on the geometric parametrization and the reduced order modeling of the Stokes equation. We discuss the concept of a parametrized geometry and its application within a reduced order modeling technique. The full order…
This paper is concerned with the design, analysis and implementation of preconditioning concepts for spectral Discontinuous Galerkin discretizations of elliptic boundary value problems. While presently known techniques realize a growth of…