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

This paper studies the shallow Ritz method for solving one-dimensional diffusion-reaction problems. The method is capable of improving the order of approximation for non-smooth problems. By following a similar approach to the one presented…

The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…

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…

The time-fractional diffusion equation is considered, where the time derivative is either of Caputo or Riemann-Liouville type. The solution of a general initial-boundary value problem with time-dependent boundary conditions over bounded and…

In this paper the Buchen's pricing formulae of (higher order) asset and bond binary options are incorporated into the pricing formula of power binary options and a pricing formula of "the normal distribution standard options" with the…

In this paper, we explore the pricing and hedging strategies for an innovative insurance product called the equity protection swap(EPS). Notably, we focus on the application of EPSs involving cross-currency reference portfolios, reflecting…

In this paper I describe a specialized algorithm for anisotropic diffusion determined by a field of transition rates. The algorithm can be used to describe some interesting forms of diffusion that occur in the study of proton motion in a…

We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…

We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We…

This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model. The main goal is to improve the precision and authenticity of option…

We analyze a reaction coefficient identification problem for the spectral fractional powers of a symmetric, coercive, linear, elliptic, second-order operator in a bounded domain $\Omega$. We realize fractional diffusion as the…

A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…

Exact analytic solution for the probability distribution function of the non-inertial rotational diffusion equation, i.e., of the Smoluchowski one, in a symmetric Maier-Saupe uniaxial potential of mean torque is obtained via the confluent…

In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite…

We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of…

In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE)…

The established technique of eliminating upper or lower parameters in a general hypergeometric series is profitably exploited to create pathways among confluent hypergeometric functions, binomial functions, Bessel functions, and exponential…

In this paper, we are interested in a Neumann-type series for modified Bessel functions of the first kind which arises in the study of Dunkl operators associated with dihedral groups and as an instance of the Laguerre semigroup constructed…

Neural posterior estimation (NPE), a simulation-based computational approach for Bayesian inference, has shown great success in approximating complex posterior distributions. Existing NPE methods typically rely on normalizing flows, which…

In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process with a mean-reverting drift. Our approach is similar to…