Related papers: On the valuation of arithmetic-average Asian optio…
In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite…
In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium…
We proposed classification models that utilize the result from the Quasi-Reversibility Method, which solves the Black-Scholes equation to forecast the option prices one day in advance. Combining the minimizer from QRM with our machine…
Completeness of the eigenfunctions of a quantum mechanical system is crucial for its probability interpretation. By using the method of contour integral we give properly normalized eigenfunctions for both discrete and continuum spectrum of…
The distribution of a time integral of geometric Brownian motion is not well understood. To price an Asian option and to obtain measures of its dependence on the parameters of time, strike price, and underlying market price, it is essential…
In this paper we study a certain recurrence relation, that can be used to generate ladder operators for the Laguerre Unitary ensemble, from the point of view of Sakai's geometric theory of Painlev\'e equations. On one hand, this gives us…
The short maturity limit $T\to 0$ for the implied volatility of an Asian option in the Black-Scholes model is determined by the large deviations property for the time-average of the geometric Brownian motion. In this note we derive the…
Hiary [3] has presented an algorithm which allows to evaluate the truncated theta function $\sum_{k=0}^n \exp(2\pi \i (zk+\tau k^2))$ to within $\pm \epsilon$ in $O(\ln(\tfrac{n}{\epsilon})^{\kappa})$ arithmetic operations for any real $z$…
In this paper we consider Jacobi forms of half-integral index for any positive definite lattice L (classical Jacobi forms from the book of Eichler and Zagier correspond to the lattice A_1=<2>). We give a lot of examples of Jacobi forms of…
Taking advantage of the recent litterature on exact simulation algorithms (Beskos, Papaspiliopoulos and Roberts) and unbiased estimation of the expectation of certain fonctional integrals (Wagner, Beskos et al. and Fearnhead et al.), we…
In this paper, we use Sakai's geometric framework to explore the profound interconnection between recurrence coefficients of the semiclassical Laguerre weight $w(x)=x^{\lambda}\mathrm{e}^{-x^2+sx}$, $x\in\mathbb{R}^+$, $\lambda>-1$,…
In the study of theta series and partition functions, Andrews and Merca, Guo and Zeng independently conjectured that a truncated Jacobi triple product series has nonnegative coefficients. This conjecture was proved analytically by Mao and…
We consider a recursive algorithm to construct an aggregated estimator from a finite number of base decision rules in the classification problem. The estimator approximately minimizes a convex risk functional under the l1-constraint. It is…
In the Super-Transition-Array statistical method for the computation of radiative opacity of hot dense matter, the moments of the absorption or emission features involve partition functions with reduced degeneracies, occurring through the…
The theory of P\'olya ensembles of positive definite random matrices provides structural formulas for the corresponding biorthogonal pair, and correlation kernel, which are well suited to computing the hard edge large $N$ asymptotics. Such…
Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes the Tsallis nonextensive entropy of index $q$. A generalized…
We provide a complete treatment of algebro-geometric solutions of the classical massive Thirring system. In particular, we study Dubrovin-type equations for auxiliary divisors, consider the corresponding algebro-geometric initial value…
We obtain a nontrivial upper bound for almost all elements of the sequences of real numbers which are multiplicative and at the prime indices are distributed according to the Sato--Tate density. Examples of such sequences come from…
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $S=(S_{t})_{t\geq0}$ is given by \[ dS_{t}=m(\theta_{t})S_{t}…
The author derives new family of series representations for the values of the Riemann Zeta function $\zeta(s)$ at positive odd integers. For $n\in\mathbb{N}$, each of these series representing $\zeta(2n+1)$ converges remarkably rapidly with…