相关论文: On a free boundary problem for an American put opt…
We consider the dynamics of an electrostatically actuated thin elastic plate being clamped at its boundary above a rigid plate. The model includes the harmonic electrostatic potential in the three-dimensional time-varying region between the…
We investigate general semilinear (obstacle-like) problems of the form $\Delta u = f(u)$, where $f(u)$ has a singularity/jump at $\{u=0\}$ giving rise to a free boundary. Unlike many works on such equations where $f$ is approximately…
In this paper, we consider the following free boundary problem $$ (P)\left\{\begin{array}{ll} \Delta u = \lambda \phi(x)\Sum_{i=1}^n H(u-\mu_i )& \quad \mbox{ in }\ \Omega=\Omega_2\setminus \overline{\Omega}_1, \\[0.3cm]u =0 &\quad \mbox{…
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such…
In this paper we show that the optimal exercise boundary / free boundary of the American put option pricing problem for jump diffusions is continuously differentiable (except at the maturity). This differentiability result has been…
In this paper, motivated by a problem in stochastic impulse control theory, we aim to study solutions to a free boundary problem of obstacle-type. We obtain sharp estimates for the solution using nonlinear tools which are independent of the…
We study the higher regularity of free boundaries in obstacle problems for integro-differential operators. Our main result establishes that, once free boundaries are $C^{1,\alpha}$, then they are $C^\infty$. This completes the study of…
The theme in this paper is the recombining binomial tree to price American put option when the underlying stock follows constant elasticity of variance(CEV) process. Recombining nodes of binomial tree are decided from finite difference…
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The payoff is given by an RCLL adapted process…
We consider a parabolic non-local free boundary problem that has been derived as a limit of a bulk-surface reaction-diffusion system which models cell polarization. In previous papers, we have established well-posedness of this problem and…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
This brief note addresses the free boundary problem arising from the steady two-dimensional seepage flow through a rectangular dam. The flow problem consists in finding the free boundary location, and the velocity and pressure fields. The…
We consider the CFT of a free boson compactified on a circle, such that the compactification radius $R$ is an irrational multiple of $R_{selfdual}$. Apart from the standard Dirichlet and Neumann boundary states, Friedan suggested [1] that…
One-dimensional free boundary problem for a nonlinear diffusion - convection equation with a Dirichlet condition at fixed face $x=0$, variable in time, is considered. Throught several transformations the problem is reduced to a free…
Motivated by applications in economics and finance, in particular to the modeling of limit order books, we study a class of stochastic second-order PDEs with non-linear Stefan-type boundary interaction. To solve the equation we transform…
In this paper we consider the following optimal stopping problem $$V^{\omega}_{\rm A}(s) = \sup_{\tau\in\mathcal{T}} \mathbb{E}_{s}[e^{-\int_0^\tau \omega(S_w) dw} g(S_\tau)],$$ where the process $S_t$ is a jump-diffusion process,…
It is known that the value of a call option in the case of constant elasticity processes (CEV) with the indicator $\alpha$ exceeding the critical $\alpha=1$ is determined in a non-unique way. We show how, based on an already existing…
An iterative solution method for fully nonlinear boundary value problems governing self-similar flows with a free boundary is presented. Specifically, the method is developed for application to water entry problems, which can be studied…
The evolution problem for a membrane based model of an electrostatically actuated microelectromechanical system (MEMS) is studied. The model describes the dynamics of the membrane displacement and the electric potential. The latter is a…
We prove existence, regularity and a Feynman-Ka\v{c} representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average.