Related papers: Explicit solutions for a nonlinear model of financ…
A non-linear differential equation arising from a stochastic process known as branching Brownian motion is considered. We find an explicit solution and show the uniqueness of the solution under some boundedness conditions using…
In this paper we prove the multiplicity of solutions for a class of quasilinear problems in $ \mathbb{R}^{N} $ involving variable exponents. The main tool used is in the proof are the direct methods, Ekeland's variational principle and some…
An explicit perturbative solution to all orders is given for a general class of nonlinear differential equations. This solution is written as a sum indexed by rooted trees and uses the Green function of a linearization of the equations. The…
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar L\'evy-type stochastic processes. We derive rigorous error bounds for the…
Extracting implied information, like volatility and/or dividend, from observed option prices is a challenging task when dealing with American options, because of the computational costs needed to solve the corresponding mathematical problem…
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…
Using tools from spectral analysis, singular and regular perturbation theory, we develop a systematic method for analytically computing the approximate price of a derivative-asset. The payoff of the derivative-asset may be path-dependent.…
Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or…
Spectral method related to Lame equation with finite-gap potential is used to study the optical cascading equations. These equations are known not to be integrable by inverse scattering method. Due to "partial integrability" two-gap…
Real-life problems are governed by equations which are nonlinear in nature. Nonlinear equations occur in modeling problems, such as minimizing costs in industries and minimizing risks in businesses. A technique which does not involve the…
We present an original study on the numerical stabiliy of explicit schemes solving the incompressible Euler equations on an open domain with slipping boundary conditions. Relying on the skewness property of the non-linear term, we…
Neural networks with sufficiently smooth activation functions can approximate values and derivatives of any smooth function, and they are differentiable themselves. We improve the approximation capability of neural networks by utilizing the…
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…
The coupled nonlinear volatility and option pricing model presented recently by Ivancevic is investigated, which generates a leverage effect, i.e., stock volatility is (negatively) correlated to stock returns, and can be regarded as a…
In many applications, the governing PDE to be solved numerically contains a stiff component. When this component is linear, an implicit time stepping method that is unencumbered by stability restrictions is often preferred. On the other…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
In this paper we study nonlinear partial differential equations (PDEs) that are used to model different value adjustments denoted generally as xVA. These adjustments are nowadays commonly added to the risk-free financial derivative values…
This paper systematically treats the asymptotic behavior of many (linear/nonlinear) classes of higher-order fractional differential equations with multiple terms. To do this, we utilize the characteristics of Caputo fractional…
We solve in closed-form an equilibrium model in which a finite number of exponential investors continuously consume and trade with price-impact. Compared to the analogous Pareto-efficient equilibrium model, price-impact has an amplification…
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution…