Related papers: On non-uniqueness in the option valuation problem
In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of the issuer. CVA is needed to evaluate…
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…
This paper is concerned with the initial boundary value problem for a nonconservative system of hyperbolic equation appearing in elastodynamics in the space time domain $x > 0, t > 0$. The number of boundary conditions to be prescribed at…
In a recent article entitled "A simple explanation of the quantum violation of a fundamental inequality," Cabello proposes a condition on a class of probabilistic models that, he claims, gives the same bound on contextuality for the KCBS…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
This paper deals with the initial-boundary value problem to a nonlocal semilinear pseudo-parabolic equation with conical degeneration, which has been studied in [Global well-posedness for a nonlocal semilinear pseudo-parabolic equation with…
We provide a bound for the error committed when using a Fourier method to price European options when the underlying follows an exponential \levy dynamic. The price of the option is described by a partial integro-differential equation…
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…
In this paper, with a fixed $p\in (1,+\infty)$ and a bounded domain $\Omega \subset \mathbb{R}^N$ whose boundary $\partial\Omega$ fulfills the $C^1$ regularity, we study a boundary value problem involving a nonlocal operator assigning to…
In the paper, the contact - boundary value problem with non-classical conditions not requiring agreement conditions is considered for a pseudoparabolic equation. The equivalence of these conditions is substantiated in the case if the…
This paper is concerned with the Dirichlet initial-boundary value problem of a 2-D parabolic-elliptic system proposed to model the formation of biological transport networks. Even if global weak solutions for this system are known to exist,…
The standard problem for the classical heat equation posed in a bounded domain $\Omega$ of $\mathbb R^n$ is the initial and boundary value problem. If the Laplace operator is replaced by a version of the fractional Laplacian, the initial…
This paper is devoted to the mathematical analysis of a thermomechanical model describing phase transitions in terms of the entropy and order structure balance law. We consider a macroscopic description of the phenomenon and make a…
We consider initial boundary value problems for one-dimensional diffusion equation with time-fractional derivative of order $\alpha \in (0,1)$ which are subject to non-zero Neumann boundary conditions. We prove the uniqueness for an inverse…
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ from most approaches to model-independent pricing in that we…
We study both divergence and non-divergence form parabolic and elliptic equations in the half space $\{x_d>0\}$ whose coefficients are the product of $x_d^\alpha$ and uniformly nondegenerate bounded measurable matrix-valued functions, where…
We study the eigenvalue problem for a superlinear convolution operator in the special case of bilinear constitutive laws and establish the existence and uniqueness of a one-parameter family of nonlinear eigenfunctions under a topological…
In this paper, we deal with the initial value problem for a class of fully nonlinear parabolic equations with a singular Dirichlet boundary condition in one space dimension. The interior equation includes, for example, a fully nonlinear…
This paper studies an inverse boundary value problem for a semilinear Helmholtz equation with Neumann boundary conditions in a bounded domain $\Omega \subset \mathbb{R}^n$ ($n\ge2$). The objective is to recover the unknown linear and…
We present an approach for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential L\'{e}vy process. The model is a generalization of the celebrated work of Davis,…