相关论文: On a free boundary problem for an American put opt…
The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American style of vanilla options that can be modelled by class of…
In this research work, we propose a high-order time adapted scheme for pricing a coupled system of fixed-free boundary constant elasticity of variance (CEV) model on both equidistant and locally refined space-grid. The performance of our…
We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically we assume that the American put must be exercised at either…
The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of the boundary conditions is proposed, which allows to get rid…
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of European style of derivative and so…
This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. In a…
We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated at some random time. Under the assumption that the underlying…
Free boundary problems are those described by PDEs that exhibit a priori unknown (free) interfaces or boundaries. These problems appear in Physics, Probability, Biology, Finance, or Industry, and the study of solutions and free boundaries…
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…
We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is $C^2$ except at the…
We consider a system of coupled free boundary problems for pricing American put options with regime-switching. To solve this system, we first employ the logarithmic transformation to map the free boundary for each regime to multi-fixed…
We study regularity properties of the free boundary for solutions of the porous medium equation with the presence of drift. We show the $C^{1,\alpha}$ regularity of the free boundary, when the solution is directionally monotone in space…
A make-your-mind-up option is an American derivative with delivery lags. We show that its put option can be decomposed as a European put and a new type of American-style derivative. The latter is an option for which the investor receives…
In this paper, we extend the 3/2-model for VIX studied by Goard and Mazur (2013) and introduce the generalized 3/2 and 1/2 classes of volatility processes. Under these models, we study the pricing of European and American VIX options and,…
A model of unsteady filtration (seepage) in a porous medium with capillary retention is considered. It leads to a free boundary problem for a generalized porous medium equation where the location of the boundary of the water mound is…
In this paper, we study a free boundary problem for a class of nonlinear nonautonomous size structured population model. Using the comparison principle and upper lower solution methods, we establish the existence of the solution for such…
We consider the pricing of American put options in a model-independent setting: that is, we do not assume that asset prices behave according to a given model, but aim to draw conclusions that hold in any model. We incorporate market…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
A new method is introduced for studying boundary value problems for a class of linear PDEs with {\it variable} coefficients. This method is based on ideas recently introduced by the author for the study of boundary value problems for PDEs…
We study a free boundary problem for a parabolic partial differential equation in which the solution is coupled to the moving boundary through an integral constraint. The problem arises as the hydrodynamic limit of an interacting particle…