相关论文: On the Yor integral and a system of polynomials re…

The 1993 Laplace transform approach of Geman and Yor is a celebrated advance in valuing Asian options. Its insights are fundamental from both a mathematical and a financial perspective. In this paper, we discuss two observations regarding…

This paper derives integral representations for the Black-Scholes price of arithmetic-average Asian options. Their proof is by Laplace inverting the 1992 Laplace transform of Geman-Yor using complex analytic methods. The analysis ultimately…

Notions of the orthogonality and convolution orthogonality are explored with the use of the Kontorovich-Lebedev transform and its convolution. New classes of the corresponding orthogonal polynomials and functions are investigated. Integral…

Averaging problems are ubiquitous in Finance with the valuation of the so-called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numerical work on them, and their stochastic structure has been…

Completeness of the eigenfunctions of a quantum mechanical system is crucial for its probability interpretation. By using the method of contour integral we give properly normalized eigenfunctions for both discrete and continuum spectrum of…

A different application of the familiar integral representation for the modifed Bessel function drives to a new Kontorovich-Lebedev-like integral transformation of a general complex index. Mapping and operational properties, a convolution…

Many important index transforms can be constructed via the spectral theory of Sturm-Liouville differential operators. Using the spectral expansion method, we investigate the general connection between the index transforms and the associated…

We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-neutral expectation of the quadratic variation of the return…

Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the…

Kerov functions provide an infinite-parametric deformation of the set of Schur functions, which is a far-going generalization of the 2-parametric Macdonald deformation. In this paper, we concentrate on a particular subject: on Kerov…

This paper is motivated by questions about averages of stochastic processes which originate in mathematical finance, originally in connection with valuing the so-called Asian options. Starting with research of Yor's in 1992, these questions…

Using Kakichev's classical concept and extending Yakubovich-Britvina's approach (\textit{Results. Math.} 55(1-2):175-197, 2009) and (\textit{Integral Transforms Spec. Funct.} 21(4):259--276, 2010) for setting up Kontorovich-Lebedev…

In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced by Dufresne to computing the negative moments of Yor's accumulation processes. For these he has given functional recursion rules whose…

The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of…

In this contribution we consider sequences of monic polynomials orthogonal with respect to the standard Freud-like inner product involving a quartic potential $\left\langle…

In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution.…

We consider polynomials that are orthogonal over an analytic Jordan curve L with respect to a positive analytic weight, and show that each such polynomial of sufficiently large degree can be expanded in a series of certain integral…

We prove the existence and pointwise lower and upper bounds for the fundamental solution of the degenerate second order partial differential equation related to Geman-Yor stochastic processes, that arise in models for option pricing theory…

We introduce an algorithm for the pricing of finite expiry American options driven by L\'evy processes. The idea is to tweak Carr's `Canadisation' method, cf. Carr [9] (see also Bouchard et al [5]), in such a way that the adjusted algorithm…

We show that the Adomian decomposition method proposed by Ke et al [ANZIAM J. \textbf{59} (2018) 349] is just the Taylor series approach in disguise. The latter approach is simpler, more straightforward and yields a recurrence relation free…