相关论文: On non-uniqueness in the option valuation problem
It is known that the price of call options in the Heston model is determined in a non-unique way. In this paper, this problem is analyzed from the point of view of the existing mathematical theory of uniqueness classes for degenerate…
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with…
In this paper we consider an initial boundary value problem for a semilinear parabolic equation with nonlinear nonlocal boundary condition. We prove comparison principle, the existence theorem of a local solution and study the problem of…
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…
The aim of this paper is to draw attention to an interesting semilinear parabolic equation that arose when describing the chaotic dynamics of a polymer molecule in a liquid. This equation is nonlocal in time and contains a term, called the…
We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove…
We consider an initial boundary value problem in a bounded domain $\Omega$ over a time interval $(0, T)$ for a time-fractional wave equation where the order of the fractional time derivative is between $1$ and $2$ and the spatial elliptic…
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, the indifference price is formulated as a…
A non-classical formulation of the central limit theorem is given for sequences of independent random variables with finite second moments. Singular sequences whose members all have a degenerate or normal distribution are excluded from…
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
A wide variety of articles, starting with the famous paper (Gidas, Ni and Nirenberg in Commun. Math. Phys. 68, 209-243 (1979)) is devoted to the uniqueness question for the semilinear elliptic boundary value problem…
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, such as variance. We show that it is…
In this paper we investigate a nonlinear generalization of the Black-Scholes equation for pricing American style call options in which the volatility term may depend on the underlying asset price and the Gamma of the option. We propose a…
We consider an inverse boundary value problem for a nonlinear elastic wave equation which was studied in [de Hoop, Uhlmann, Wang. Math. Ann. (2019) doi:10.1007/s00208-018-01796-y]. We show that all the parameters appearing in the equation…
In this paper, we study the initial boundary value problem for the nonlinear wave equation with combined power-type nonlinearities with variable coefficients. The global behavior of the solutions with non-positive and sub-critical energy is…
Vecer derived a degenerate parabolic equation with a boundary condition characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to such a problem but…
We consider the framework proposed by Burgard and Kjaer (2011) that derives the PDE which governs the price of an option including bilateral counterparty risk and funding. We extend this work by relaxing the assumption of absence of…
We consider a two-asset non-linear model of option pricing in an environment where the correlation is not known precisely, but varies between two known values. First we discuss the non-negativity of the solution of the equation. Next, we…
The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion…
An uniqueness theorem for the inverse problem in the case of a second-order equation defined on the interval [0,1] when the boundary forms contain combinations of the values of functions at the points 0 and 1 is proved. The auxiliary…