Related papers: Semiclassical CEV Option Pricing Model: an Analyti…
With a view toward fractal spaces, by using a Korevaar-Schoen space approach, we introduce the class of bounded variation (BV) functions in a general framework of strongly local Dirichlet spaces with a heat kernel satisfying sub-Gaussian…
The Variational Quantum Eigensolver (VQE) is a quantum algorithm used to find the ground state energy of a given Hamiltonian. The key component of VQE is the ansatz, which is a trial wavefunction that the algorithm uses to approximate the…
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the notional prior to maturity, therefore the future cash flows…
A recent proposal (see quant-ph/9803068) to simulate semiclassical corrections to classical dynamics by suitable classical stochastic fluctuations is applied to the specific instance of charged beam dynamics in particle accelerators. The…
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…
This paper develops a method for solving free boundary problems for time-homogeneous diffusions. We combine the complete exponential system of solutions for the heat equation, transmutation operators and recently discovered Neumann series…
This work generalizes the subdiffusive Black-Scholes model by introducing the variable exponent in order to provide adequate descriptions for the option pricing, where the variable exponent may account for the variation of the memory…
We introduce the class of bounded variation (BV) functions in a general framework of strictly local Dirichlet spaces with doubling measure. Under the 2-Poincar\'e inequality and a weak Bakry-\'Emery curvature type condition, this BV class…
In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier,…
This paper is devoted to a numerical analysis of a fractional viscoelastic wave propagation model that generalizes the fractional Maxwell model and the fractional Zener model. First, we convert the model problem into a velocity type…
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with…
The classical derivation of the well-known Vasicek model for interest rates is reformulated in terms of the associated pricing kernel. An advantage of the pricing kernel method is that it allows one to generalize the construction to the…
In this work, we investigate a class of quasilinear wave equations of Westervelt type with, in general, nonlocal-in-time dissipation. They arise as models of nonlinear sound propagation through complex media with anomalous diffusion of…
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that…
In this research work, we propose a high-order time adapted scheme for pricing a coupled system of fixed-free boundary constant elasticity of variance (CEV) model on both equidistant and locally refined space-grid. The performance of our…
This paper addresses the problem of learning the impulse responses characterizing forward models by means of a regularized kernel-based Prediction Error Method (PEM). The common approach to accomplish that is to approximate the system with…
One of the most fundamental questions in quantitative finance is the existence of continuous-time diffusion models that fit market prices of a given set of options. Traditionally, one employs a mix of intuition, theoretical and empirical…
We present a finite-difference integration algorithm for solution of a system of differential equations containing a diffusion equation with nonlinear terms. The approach is based on Crank-Nicolson method with predictor-corrector algorithm…
We review the status of covariant methods in quantum field theory and quantum gravity, in particular, some recent progress in the calculation of the effective action via the heat kernel method. We study the heat kernel associated with an…
The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate step between the standard Brownian motion (Bm) and the…