Related papers: On the valuation of arithmetic-average Asian optio…
We study the problem of reconstruction of special special time dependent local volatility from market prices of options with different strikes at two expiration times. For a general diffusion process we apply the linearization technique and…
Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893-916]. As an application, we propose a Newton-Raphson…
Studies of density matrices for random quantum states lead naturally to the fixed trace Laguerre ensemble in random matrix theory. Previous studies have uncovered explicit rational function formulas for moments of purity statistic (trace of…
Let $\Omega$ be a symmetric cone and $V$ the corresponding simple Euclidean Jordan algebra. In \cite{ado,do,do04,doz2} we considered the family of generalized Laguerre functions on $\Omega$ that generalize the classical Laguerre functions…
Spectral analysis of a certain doubly infinite Jacobi operator leads to orthogonality relations for confluent hypergeometric functions, which are called Laguerre functions. This doubly infinite Jacobi operator corresponds to the action of a…
Analytical solutions to nonlinear differential equations -- where they exist at all -- can often be very difficult to find. For example, Duffing's equation for a system with cubic stiffness requires the use of elliptic functions in the…
We introduce a new type of cubature formula for the evaluation of an integral over the disk with respect to a weight function. The method is based on an analysis of the Fourier series of the weight function and a reduction of the bivariate…
The classical orthogonal polynomials (Hermite, Laguerre and Jacobi) are involved in a vast number of applications in physics and engineering. When large degrees $n$ are needed, the use of recursion to compute the polynomials is not a good…
In this paper we extend the Zeta function regularization technique, which gives a meaningful solution to divergent power series, in order to assign finite values to divergent integral of certain transcendental functions $f(x)$. The…
We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This series requires the computation of moments and correlators of the underlying price process, but for a polynomial jump-diffusion, these are…
In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to…
Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fractional diffusion model with moving boundary i.e. American…
One method to compute the price of an arithmetic Asian option in a Levy driven model is based on the exponential functional of the underlying Levy process: If we know the distribution of the exponential functional, we can calculate the…
We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential L\'evy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional…
The main step in numerical evaluation of classical Sl2 (Z) modular forms and elliptic functions is to compute the sum of the first N nonzero terms in the sparse q-series belonging to the Dedekind eta function or the Jacobi theta constants.…
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by…
The Laguerre functions $l_{n,\tau}^\alpha$, $n=0,1,\dots$, are constructed from generalized Laguerre polynomials. The functions $l_{n,\tau}^\alpha$ depend on two parameters: scale $\tau>0$ and order of generalization $\alpha>-1$, and form…
In this paper, we consider the Fourier coefficients of a special class of meromorphic Jaocbi forms of negative index. Much recent work has been done on such coefficients in the case of Jacobi forms of positive index, but almost nothing is…
Recently, a version of the deformation method developed in arXiv:2104.07816 has been used to great effect to compute the local zeta functions of Calabi-Yau threefolds by computing their periods as series with rational coefficients and using…
We describe general multilevel Monte Carlo methods that estimate the price of an Asian option monitored at $m$ fixed dates. Our approach yields unbiased estimators with standard deviation $O(\epsilon)$ in $O(m + (1/\epsilon)^{2})$ expected…