相关论文: Pricing double barrier options on homogeneous diff…

We propose a financial market model that comprises a savings account and a stock. The stock price process is modeled as a one-dimensional diffusion, in which two types of agents exist: an ordinary investor and a fundraiser who buys or sells…

We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating…

We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed form for the jump-diffusion model, considering the…

We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficients and the barrier, are obtained in semi-closed form, see…

We introduce a new diffusion process which arises as the $n\to\infty$ limit of a Bessel process of dimension $d \ge 2$ conditioned upon remaining bounded below one until time $n$. In addition to being interesting in its own right, we argue…

We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh and Naujokat and Westray, the hedging problem can…

Theoretical models applied to option pricing should take into account the empirical characteristics of the underlying financial time series. In this paper, we show how to price basket options when assets follow a shifted log-normal process…

In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…

There are three main types of numerical computations for the Bessel function of the second kind: series expansion, continued fraction, and asymptotic expansion. In addition, they are combined in the appropriate domain for each. However,…

We study the existence and properties of Lipschitz continuous weak solutions to the Neumann boundary value problem for a class of one-dimensional quasilinear forward-backward diffusion equations with linear convection and reaction. The…

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…

We provide an European option pricing formula written in the form of an infinite series of Black Scholes type terms under double Levy jumps model, where both the interest rate and underlying price are driven by Levy process. The series…

In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given…

Ordinary differential equations (ODEs) are widely used to describe dynamical systems in science, but identifying parameters that explain experimental measurements is challenging. In particular, although ODEs are differentiable and would…

We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We…

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…

This paper proposes a numerical upscaling procedure for elliptic boundary value problems with diffusion tensors that vary randomly on small scales. The resulting effective deterministic model is given through a quasilocal discrete integral…

It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jump-diffusion and Levy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the…

In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes…

We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the volatility surface. The pricing of an…