相关论文: On non-uniqueness in the option valuation problem

For a converging sequence of exponential L\'evy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices when no such convergence holds. We then consider two…

We study equations from the area of peridynamics, which is an extension of elasticity. The governing equations form a system of nonlocal wave equations. Its governing operator is found to be a bounded, linear and self-adjoint operator on a…

In their 1968 paper Fujita and Watanabe considered the issue of uniqueness of the trivial solution of semilinear parabolic equations with respect to the class of bounded, non-negative solutions. In particular they showed that if the…

In this paper, we investigate the problem of classifying feature vectors with mutually independent but non-identically distributed elements. First, we show the importance of this problem. Next, we propose a classifier and derive an…

We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach first proposed by Pallavicini and co-authors in 2011. Based…

We show that if either the process is strong Feller and the boundary point is probabilistically regular for the stopping set, or the process is strong Markov and the boundary point is probabilistically regular for the interior of the…

This paper investigates the limit of the principal eigenvalue $\lambda(s)$ as $s\to+\infty$ for the following elliptic equation \begin{align*} -\Delta\varphi(x)-2s\mathbf{v}\cdot\nabla\varphi(x)+c(x)\varphi(x)=\lambda(s)\varphi(x), \quad…

Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter $q$. A generalized form of the Black-Scholes (B-S) partial differential…

We consider a non-Gaussian option pricing model, into which the underlying log-price is assumed to be driven by an $\alpha$-stable distribution. We remove the a priori divergence of the model by introducing a Mellin regularization for the…

In this paper second order elliptic boundary value problems on bounded domains $\Omega\subset\dR^n$ with boundary conditions on $\partial\Omega$ depending nonlinearly on the spectral parameter are investigated in an operator theoretic…

This research is to assess cryptocurrencies with the conditional beta, compared with prior studies based on unconditional beta or fixed beta. It is a new approach to building a pricing model for cryptocurrencies. Therefore, we expect that…

Absolute value equations, due to their relation to the linear complementarity problem, have been intensively studied recently. In this paper, we present error bounds for absolute value equations. Along with the error bounds, we introduce an…

We study the problem of determining uniquely a time-dependent singular potential $q$, appearing in the wave equation $\partial_t^2u-\Delta_x u+q(t,x)u=0$ in $Q=(0,T)\times\Omega$ with $T>0$ and $\Omega$ a $ \mathcal C^2$ bounded domain of…

We study the elastic flow of closed curves and of open curves with clamped boundary conditions in the hyperbolic plane. While global existence and convergence toward critical points for initial data with sufficiently small energy is already…

It is known that the overlap of two energy eigenstates in a decaying quantum system is bounded from above by a function of the energy detuning and the individual decay rates. This is usually traced back to the positive definiteness of an…

We examine equations of the form {eqnarray*} \{{array}{lcl} \hfill \HA u &=& \lambda g(x) f(u) \qquad \text{in}\ \Omega \hfill u&=& 0 \qquad \qquad \qquad \text{on}\ \pOm, {array}. {eqnarray*} where $ \lambda >0$ is a parameter and $…

We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump L\'evy process. This model can capture both mean reversion and…

We study local, analytic solutions for a class of initial value problems for singular ODEs. We prove existence and uniqueness of such solutions under a certain non-resonance condition. Our proof translates the singular initial value problem…

The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential L\'evy type. We consider non-tradeability as a particular type of market illiquidity and investigate its impact on the price of…

We study the semi-classical trace formula at a critical energy level for a $h$-pseudo-differential operator whose principal symbol has a unique non-degenerate critical point for that energy. This leads to the study of Hamiltonian systems…