Related papers: The Obstacle Problem Arising from the American Cho…
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown.…
We study the obstacle problem with an elliptic operator in divergence form. We develop all of the basic theory of existence, uniqueness, optimal regularity, and nondegeneracy of the solutions. These results, in turn, allow us to begin the…
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The payoff is given by an RCLL adapted process…
We approach the fundamental problem of obstacle avoidance for robotic systems via the lens of online learning. In contrast to prior work that either assumes worst-case realizations of uncertainty in the environment or a stationary…
The obstacle problem is a class of free boundary problems which finds applications in many disciplines such as porous media, financial mathematics and optimal control. In this paper, we propose two operator-splitting methods to solve the…
In this paper we consider the following optimal stopping problem $$V^{\omega}_{\rm A}(s) = \sup_{\tau\in\mathcal{T}} \mathbb{E}_{s}[e^{-\int_0^\tau \omega(S_w) dw} g(S_\tau)],$$ where the process $S_t$ is a jump-diffusion process,…
We consider the problem of pricing American Exchange options driven by a L\'evy process. We study the properties of American Exchange options, we represented it as the sum of the price of the corresponding European exchange option price and…
In this paper we analyze iterations of the obstacle problem for two different operators. We solve iteratively the obstacle problem from above or below for two different differential operators with obstacles given by the previous functions…
This paper concerns an optimal stopping problem driven by the running maximum of a spectrally negative Levy process X. More precisely, we are interested in capped versions of the American lookback optimal stopping problem, which has its…
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…
In this paper, we investigate optimal control problems governed by semilinear elliptic variational inequalities involving constraints on the state, and more precisely the obstacle problem. Since we adopt a numerical point of view, we first…
In this note, we show that a natural optimal control problem for the $\infty$-obstacle problem admits an optimal control which is also an optimal state. Moreover, we show the convergence of the minimal value of an optimal control problem…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…
Given two points in the plane, a set of obstacles defined by closed curves, and an integer $k$, does there exist a path between the two designated points intersecting at most $k$ of the obstacles? This is a fundamental and well-studied…
Reinforcement learning can greatly benefit from the use of options as a way of encoding recurring behaviours and to foster exploration. An important open problem is how can an agent autonomously learn useful options when solving particular…
We study optimization problems for partially hinged rectangular plates, modeling bridge roadways, in the presence of real and artificial obstacles. Real obstacles represent structural constraints to avoid, while artificial ones are…
We prove the existence and uniqueness of non-negative entropy solutions of the obstacle problem for stochastic porous media equations. The core of the method is to combine the entropy formulation with the penalization method.
Differential equations have void applications in several practical situations, sciences, and non sciences as Euler Lagrange equation in classical mechanics, Radioactive decay in nuclear physics, Navier Stokes equations in fluid dynamics,…
Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numerical computations are required to solve it. Strong efforts…