Related papers: On non-uniqueness in the option valuation problem

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…

We consider the boundary value problem $-\Delta_p u_\lambda -\Delta_q u_\lambda =\lambda g(x) u_\lambda^{-\beta}$ in $\Omega$ , $u_\lambda=0$ on $\partial \Omega$ with $u_\lambda>0$ in $\Omega.$ We assume $\Omega$ is a bounded open set in…

In this work we deal with degenerate parabolic equations with three lines of degeneration. Using "a-b-c" method we prove the uniqueness theorems defining conditions to parameters. We show nontrivial solutions for considered problems, when…

This article is concerned with the unique continuation property of a forward differential inequality abstracted from parabolic equations proposed on a convex domain $\Omega$ prescribed with some regularity and growth conditions. Our result…

Option pricing is the most elemental challenge of mathematical finance. Knowledge of the prices of options at every strike is equivalent to knowing the entire pricing distribution for a security, as derivatives contingent on the security…

We study a two-dimensional McKean-Vlasov stochastic differential equation, whose volatility coefficient depends on the conditional distribution of the second component with respect to the first component. We prove the strong existence and…

We consider a bounded open subset $\Omega$ of ${\mathbb{R}}^n$ of class $C^{1,\alpha}$ for some $\alpha\in]0,1[$, and we define a distributional outward unit normal derivative for $\alpha$-H\"{o}lder continuous solutions of the Helmholtz…

We consider an initial value problem for a nonlinear parabolic equation with memory under nonlinear nonlocal boundary condition. In this paper we study classical solutions. We establish the existence of a local maximal solution. It is shown…

We study a certain one dimensional, degenerate parabolic partial differential equation with a boundary condition which arises in pricing of Asian options. Due to degeneracy of the partial differential operator and the non-smooth boundary…

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…

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…

We establish the uniqueness of the higher radial bound state solutions of $$ \Delta u +f(u)=0,\quad x\in \RR^n. \leqno(P) $$ We assume that the nonlinearity $f\in C(-\infty,\infty)$ is an odd function satisfying some convexity and growth…

Paper is based on "The cost of illiquidity and its effects on hedging", L. C. G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constant elasticity model, which own previously used Black-Schoels model as a special case. The…

We study uniqueness of solutions to degenerate parabolic problems, posed in bounded domains, where no boundary conditions are imposed. Under suitable assumptions on the operator, uniqueness is obtained for solutions that satisfy an…

Consider a three dimensional piecewise homogeneous anisotropic elastic medium $\Omega$ which is a bounded domain consisting of a finite number of bounded subdomains $D_\alpha$, with each $D_\alpha$ a homogeneous elastic medium. One typical…

The initial-boundary value problems for linear non-autonomous first order evolution equations are examined. Our assumptions provide a unified treatment which is applicable to many situations, where the domains of the operators may change…

The boundary-value problem on semi-axis for one class operator-differential equations of the fourth order, the main part of which has the multiple characteristic is investigated in this paper in Sobolev type weighted space. Correctness and…

A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C…

This paper considers the weakly coupled parabolic system $\partial_t u-\partial^2_xu +P(x)u=0$ with the homogeneous Neumann boundary condition, where \(P(x)\) is a \(2\times2\) symmetric real-valued function matrix. Under the assumption…

A common approach to valuing exotic options involves choosing a model and then determining its parameters to fit the volatility surface as closely as possible. We refer to this as the model calibration approach (MCA). A disadvantage of MCA…