Related papers: Semiclassical CEV Option Pricing Model: an Analyti…

We consider a special family of occupation-time derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55--96 (1999)]. We develop new closed-form spectral expansions for pricing such options under a class…

The Constant Elasticity of Variance (CEV) model significantly outperforms the Black-Scholes (BS) model in forecasting both prices and options. Furthermore, the CEV model has a marked advantage in capturing basic empirical regularities such…

This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this…

The master equation for a damped spin well known from the theory of superradiance, is written as a finite-difference equation and solved by a WKB-like method. The propagator thus obtained looks like the van Vleck propagator of a certain…

We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficients and the barrier, are obtained in semi-closed form, see…

We test the ability of semiclassical theory to describe quantitatively the revival of quantum wavepackets --a long time phenomena-- in the one dimensional quartic oscillator (a Kerr type Hamiltonian). Two semiclassical theories are…

In this paper we study scattering of two-dimensional massless Dirac fermions by a potential that depends on a single Cartesian variable. Depending on the energy of the incoming particle and its angle of incidence, there are three different…

The CEV model subsumes some of the previous option pricing models. An important parameter in the model is the parameter b, the elasticity of volatility. For b=0, b=-1/2, and b=-1 the CEV model reduces respectively to the BSM model, the…

This work considers the variable-exponent fractional diffusion-wave equation, which describes, e.g. the propagation of mechanical diffusive waves in viscoelastic media with varying material properties. Rigorous numerical analysis for this…

Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the Heston (or square root) process, 1-…

This paper will demonstrate some new techniques for developing the theory of Asian (arithmetic average) options pricing. We discuss the basic derivation of the diffusion equations, and how various techniques from potential theory can be…

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We…

We have developed a complete semiclassical Wentzel-Kramers-Brillouin (WKB) theory for $\alpha-\mathcal{T}_3$ model which describes a wide class of existing pseudospin-1 Dirac cone materials. By expanding the sought wave functions in a…

We develop a parametrix approach for constructing solutions and establishing grid-size independent estimates for semi-discrete heat equations with variable coefficients. While the classical continuous setting benefits from Gaussian…

We study the quantum propagator in the semiclassical limit with sharp confining potentials. Including the energy-dependent scattering phase due to sharp confining potential, the modified Van Vleck's formula is derived. We also discuss the…

In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The basic idea is that the volatility elasticity of the CEV model…

A systematic method for calculating higher-order corrections of the relativistic semiclassical fixed-energy amplitude is given. The central scheme in computing corrections of all orders is related to a time ordering operation of an operator…

In this paper, we study a family of stochastic volatility processes; this family features a mean reversion term for the volatility and a double CEV-like exponent that generalizes SABR and Heston's models. We derive approximated closed form…

We derive the stochastic price process for tokens whose sole price discovery mechanism is a constant-product automated market maker (AMM). When the net flow into the pool follows a diffusion, the token price follows a constant elasticity of…

We derive a semi-analytical pricing formula for European VIX call options under the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This arbitrage-free model incorporates the volatility clustering feature by adding…