Related papers: Brownian excursions an Parisian barrier options: a…
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A…
We define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence is relaxed.…
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…
The real trees form a class of metric spaces that extends the class of trees with edge lengths by allowing behavior such as infinite total edge length and vertices with infinite branching degree. We use Dirichlet form methods to construct…
Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $\rho \in (-1,1).$ In this contribution we derive precise approximations for cumulative Parisian ruin…
We propose a new mechanism to alter the nature of the potential barriers when a biased Brownian particle under goes a constrained motion in narrow, periodic channel. By changing the angle of the external bias, the nature of the potential…
Consider a branching random walk on the real line. Madaule showed the renormalized trajectory of an individual selected according to the critical Gibbs measure converges in law to a Brownian meander. Besides, Chen proved that the…
In this work we review a recently proposed transformation which is useful in order to simplify non-polynomial potentials given in the form of an exponential. As an application, it is shown that the Liouville field theory may be mapped into…
In the paper "On Truncated Variation of Brownian Motion with Drift" (Bull. Pol. Acad. Sci. Math. 56 (2008), no.4, 267 - 281) we defined truncated variation of Brownian motion with drift, $W_t = B_t + \mu t, t\geq 0,$ where $(B_t)$ is a…
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute the distribution of $(X_t,\inf_{0\leq…
Wall-crossing phenomena are ubiquitous in many problems of algebraic geometry and theoretical physics. Various ways to encode the relevant information and the need to track the changes under the variation of parameters lead to rather…
In this paper, a study of random times on filtered probability spaces is undertaken. The main message is that, as long as distributional properties of optional processes up to the random time are involved, there is no loss of generality in…
We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…
We investigate the valuation of the bid and ask prices for European option under the mixed fractional Brownian motion environment in the presence of superimposed jumps by an independent Poisson process.
We consider Kallenberg's hypothesis on the characteristic function of a L\'{e}vy process and show that it allows the construction of weakly continuous bridges of the L\'{e}vy process conditioned to stay positive. We therefore provide a…
In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under…
In classical optimal transport, the contributions of Benamou$-$Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical…
This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and joint characteristic functions. We provide an alternative…
The random walk with choice is a well known variation to the random walk that first selects a subset of $d$ neighbours nodes and then decides to move to the node which maximizes the value of a certain metric; this metric captures the number…
In this paper, we price American-style Parisian down-and-in call options under the Black-Scholes framework. Usually, pricing an American-style option is much more difficult than pricing its European-style counterpart because of the…