Related papers: On the valuation of Paris options: foundational re…
We deal with a real valued integral operator L of Laplace transformation type acting between Lebesgue spaces on the semi-axis. Sufficient conditions for belonging L to Schatten type classes are obtained. Some upper asymptotic estimates for…
After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. We discuss the advantages and drawbacks of each method, the interpretation of their…
Variational formulas for the Laplace transform of the exit time from an open set of a Hunt process generated by a regular lower bounded semi-Dirichlet form are established. While for symmetric Markov processes, variational formulas are…
Formal Laplace operators are analyzed for a large class of resistance networks with vertex weights. The graphs are completed with respect to the minimal resistance path metric. Compactness and a novel connectivity hypothesis for the…
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional step options, the option price changing process is similar to the one dimensional trapezoid potential barrier scattering problem…
We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present some variations and implications of the method and give examples of its applications. Among others, it turns out to be a very useful tool for finding…
The pairwise winning indices, computed in the Stochastic Multicriteria Acceptability Analysis, give the probability with which an alternative is preferred to another taking into account all the instances of the assumed preference model…
Using Bayesian methods for extreme value analysis offers an alternative to frequentist ones, with several advantages such as easily dealing with parametric uncertainty or studying irregular models. However, computations can be challenging…
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…
The determination of the time averages of continuous functions, or discrete time sequences is important for various problems in physics and engineering, and the generalized final-value theorems of the Laplace and z-transforms, relevant to…
In this article we focus on the pricing of exchange options when the dynamic of logprices follows either the well-known variance gamma or the recent variance gamma++ process introduced in Gardini et al [19]. In particular, for the former…
The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In particular, an exponentially decreasing structure is proposed…
The Laplace approximation is sometimes not sufficiently accurate for smoothing parameter estimation in generalized additive mixed models. A novel estimation strategy is proposed that solves this problem and leads to estimates exhibiting the…
So-called sparse estimators arise in the context of model fitting, when one a priori assumes that only a few (unknown) model parameters deviate from zero. Sparsity constraints can be useful when the estimation problem is under-determined,…
Optimization is a critical tool for addressing a broad range of human and technical problems. However, the paradox of advanced optimization techniques is that they have maximum utility for problems in which the relationship between the…
We generate the fractional Poisson process by subordinating the standard Poisson process to the inverse stable subordinator. Our analysis is based on application of the Laplace transform with respect to both arguments of the evolving…
Li showed that the Riemann Hypothesis is equivalent to the nonnegativity of a certain sequence of numbers. Bombieri and Lagarias gave an arithmetic formula for the number sequence based on the Guinand-Weil explicit formula and showed that…
This article presents new methodology for sample-based Bayesian inference when data are partitioned and communication between the parts is expensive, as arises by necessity in the context of "big data" or by choice in order to take…
In this paper, we resort to the Laplace transform method in order to show its efficiency when approaching some types of fractional differential equations. In particular, we present some applications of such methods when applied to possible…
The Laplace transform approach with convolution theorem is used to find the scattering phase shifts of a Mie-type potential. The normalized scattering wave functions are also studied. The bound state spectrum and the corresponding…