Related papers: On the valuation of arithmetic-average Asian optio…
Using Maple, we compute a new exact series solution of a modified Black-Scholes equation, recently proposed, for the case of the Aunt Michaela option with a maturity condition of gamma type. We show that the modified Black-Scholes equation…
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution.…
We develop a new smoothing or extrapolating method, based on discrete Laguerre functions, for systematically analyzing the stochastic signal of shifted-contour auxiliary-field Monte Carlo. We study the statistical errors and extrapolation…
Dan Romik recently considered the Taylor coefficients of the Jacobi theta function around the complex multiplication point $i$. He then conjectured that the Taylor coefficients $d(n)$ either vanish or are periodic modulo any prime ${p}$;…
It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jump-diffusion and Levy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the…
Focusing on identification, this paper develops a class of convex optimization-based criteria and correspondingly the recursive algorithms to estimate the parameter vector $\theta^{*}$ of a stochastic dynamic system. Not only do the…
We consider a $(q,y)$-analogue of Laguerre polynomials $L^{(\alpha)}_n(x;y;q)$ for integral $\alpha\geq -1$, which turns out to be a rescaled version of Al-Salam--Chihara polynomials. A combinatorial interpretation for the $(q,y)$-Laguerre…
We study negative powers of Laguerre differential operators in $\R$, $d\ge1$. For these operators we prove two-weight $L^p-L^q$ estimates, with ranges of $q$ depending on $p$. The case of the harmonic oscillator (Hermite operator) has…
Classical Laguerre spectral approximations are highly effective on the half-line when the target function is smooth in the usual polynomial scale. However, their accuracy deteriorates for nonsmooth functions. Such behavior appears naturally…
Modular, Jacobi, and mock-modular forms serve as generating functions for BPS black hole degeneracies. By training feed-forward neural networks on Fourier coefficients of automorphic forms derived from the Dedekind eta function, Eisenstein…
Despite significant advancements in machine learning for derivative pricing, the efficient and accurate valuation of American options remains a persistent challenge due to complex exercise boundaries, near-expiry behavior, and intricate…
We study relationships between spinor representations of certain Lie algebras and Lie superalgebras of differential operators on the circle and values of $\zeta$--functions at the negative integers. By using formal calculus techniques we…
The Laguerre functions constitute one of the fundamental basis sets for calculations in atomic and molecular electron-structure theory, with applications in hadronic and nuclear theory as well. While similar in form to the Coulomb…
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence…
The exponentially convergent trapezoidal rule is applied to a suitable integral representation of the Faddeeva function to derive a simple formula for its evaluation. I describe its properties, strategies for maximising its efficiency, and…
This paper discusses the short-maturity behavior of Asian option prices and hedging portfolios. We consider the risk-neutral valuation and the delta value of the Asian option having a H\"older continuous payoff function in a local…
In this work, we present a quantum algorithm designed to solve the differential equation used in the pricing of Asian options, in the framework of the Black-Scholes model. Our approach modifies an existing quantum pre-conditioning method…
We define Laguerre and Jacobi analogues of the Warren process. That is, we construct local dynamics on a triangular array of particles so that the projections to each level recover the Laguerre and Jacobi eigenvalue processes of…
We consider approximate pricing formulas for European options based on approximating the logarithmic return's density of the underlying by a linear combination of rescaled Hermite polynomials. The resulting models, that can be seen as…
In this paper, by introducing a new operation in the vector space of Laurent series, the author derived explicit series for the values of $\zeta$-funtion at positive integers, where $\zeta$ denotes the Riemann zeta function. The values of…