Related papers: On the valuation of arithmetic-average Asian optio…
We investigate a class of power series occurring in some problems in quantum optics. Their coefficients are either Gegenbauer or Laguerre polynomials multiplied by binomial coefficients. Although their sums have been known for a long time,…
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…
This paper focuses on the pricing of continuous geometric Asian options (GAOs) under a multifactor stochastic volatility model. The model considers fast and slow mean reverting factors of volatility, where slow volatility factor is…
In this paper, authors successfully construct a new algorithm for the new higher order scheme of weak approximation of SDEs. The algorithm presented here is based on [1][2]. Although this algorithm shares some features with the algorithm…
Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function with the series coefficients, allows to recover the density…
We develop series expansions in powers of $q^{-1}$ and $q^{-1/2}$ of solutions of the equation $\psi(z) = q$, where $\psi(z)$ is the Laplace exponent of a hyperexponential L\'{e}vy process. As a direct consequence we derive analytic…
Jacobi's $\theta$ function has numerous applications in mathematics and computer science; a naive algorithm allows the computation of $\theta(z,\tau)$, for $z, \tau$ verifying certain conditions, with precision $P$ in $O(\mathcal{M}(P)…
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the…
In this paper, we introduce and study new classes of Ap\'ery-type series involving the multiple $t$-harmonic sums by combining the methods of iterated integral and Fourier--Legendre series expansions, where the multiple $t$-harmonic sums…
Recently Ahmadi et al. (2021) and Tagliaferro (2022) proposed some iterative methods for the numerical solution of linear systems which, under the classical hypothesis of strict diagonal dominance, typically converge faster than the Jacobi…
This research provides a formal definition of the arithmetic theta lift for cusp forms of weight $3/2$ and establishes the arithmetic inner product formula, thereby completing the Kudla program on modular curves. This formula is…
This paper presents a novel way to predict options price for one day in advance, utilizing the method of Quasi-Reversibility for solving the Black-Scholes equation. The Black-Scholes equation solved forwards in time with Tikhonov…
The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the underlying stock follows a time changed mixed fractional…
In this paper, we use regularized theta liftings to construct weak Maass forms weight 1/2 as lifts of weak Maass forms of weight 0. As a special case we give a new proof of some of recent results of Duke, Toth and Imamoglu on cycle…
Using the theory of orthogonal polynomials, their associated recursion relations and differential formulas we develop a method for evaluating new integrals. The method is illustrated by obtaining a closed-form expression for the value of an…
The authors present a new simple algorithm to approximate weakly stochastic differential equations in the spirit of [1] and [2]. They apply it to the problem of pricing Asian options under the Heston stochastic volatility model, and compare…
In this paper, we introduce an algorithm that provides approximate solutions to semi-linear ordinary differential equations with highly oscillatory solutions, which, after an appropriate change of variables, can be rewritten as…
Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by proposing a general framework for pricing both discretely and…
We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during the year 2012. Two main families of estimators are…
Dirichlet's $L$-functions are natural extensions of the Riemann zeta function. In this paper we first give a brief survey of Ap\'ery-like series for some special values of the zeta function and certain $L$-functions. Then, we establish two…