相关论文: Obstacle problem for Arithmetic Asian options

In this article we use flatness improvement argument to study the regularity of the free boundary for the biharmonic obstacle problem with zero obstacle. Assuming that the solution is almost one-dimensional, and that the non-coincidence set…

In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of…

Complicated boundary conditions are essential to accurately describe phenomena arising in nature and engineering. Recently, the investigation of a potential speedup through quantum algorithms in simulating the governing ordinary and partial…

We prove existence, uniqueness, and regularity of viscosity solutions to the stationary and evolution obstacle problems defined by a class of nonlocal operators that are not stable-like and may have supercritical drift. We give sufficient…

We study convex solutions to the Monge-Amp\`ere obstacle problem \[ \operatorname{det} D^2 v=g v^q\chi_{\{v>0\}}, \quad v \geq 0, \] where $q \in [0,n)$ is a constant and $g$ is a bounded positive function. This problem emerges from the…

Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be…

This paper studies the Neumann boundary value problem for sum Hessian equations. We first derive a priori $C^2$ estimates for $(k-1)$-admissible solutions in almost convex and uniformly $(k-1)$-convex domains, and prove the existence of…

In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…

In this paper, we introduce two novel methods to solve the American-style option pricing problem and its dual form at the same time using neural networks. Without applying nested Monte Carlo, the first method uses a series of neural…

This note explores the theoretical justification for some approximations of arithmetic forwards ($F_a$) with weighted averages of overnight (ON) forwards ($F_k$). The central equation presented in this analysis is: \begin{equation*}…

This paper presents the Runge-Kutta-Legendre finite difference scheme, allowing for an additional shift in its polynomial representation. A short presentation of the stability region, comparatively to the Runge-Kutta-Chebyshev scheme…

In this paper, an integral equation representation for the early exercise boundary of an American option contract is considered. Thus far, a number of different techniques have been proposed in the literature to obtain a variety of integral…

We are concerned with a priori estimates for the obstacle problem of a wide class of fully nonlinear equations on Riemannian manifolds. We use new techniques introduced by Bo Guan and derive new results for a priori second order estimates…

We develop quantum algorithms for pricing Asian and barrier options under the Heston model, a popular stochastic volatility model, and estimate their costs, in terms of T-count, T-depth and number of logical qubits, on instances under…

This paper presents a high-order deferred correction algorithm combined with penalty iteration for solving free and moving boundary problems, using a fourth-order finite difference method. Typically, when free boundary problems are solved…

Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numerical computations are required to solve it. Strong efforts…

This paper will demonstrate some new techniques for developing the theory of Asian (arithmetic average) options pricing. We discuss the basic derivation of the diffusion equations, and how various techniques from potential theory can be…

In this paper, we study a free boundary problem, which arises from an optimal trading problem of a stock that is driven by a uncertain market status process. The free boundary problem is a variational inequality system of three functions…

The research of the Dirichlet problem with arbitrary measurable datafor harmonic functions is due to the famous dissertation of Luzin. The present paper is devoted to various theorems on the existence of nonclassical solutions of the…

In this paper we study the existence, the optimal regularity of solutions, and the regularity of the free boundary near the so-called \emph{regular points} in a thin obstacle problem that arises as the local extension of the obstacle…