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

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 show that the parabolic equation $u_t + (-\Delta)^s u = q(x) |u|^{\alpha-1} u$ posed in a time-space cylinder $(0,T) \times \mathbb{R}^N$ and coupled with zero initial condition and zero nonlocal Dirichlet condition in $(0,T) \times…

In this paper, we discuss singular Neumann boundary problem for a class of nonlinear parabolic equations in one space dimension. Our boundary problem describes motion of a planar curve sliding along the boundary with a zero contact angle,…

We analyze the existence of unique solutions of the following class of nonlinear three point singular boundary value problems (SBVPs), \begin{eqnarray*}\label{NL-Singular-P} &&-(x^{\alpha} y'(x))'= x^{\alpha}f(x,y),\quad 0<x<1,\\…

The method is proposed for the study of many-point boundary value problems for systems of nonlinear ODE, by reducing them to special equivalent integral equations, and allows us [in contrast with the known method [1]] to consider boundary…

An abstract framework guaranteeing the continuous differentiability of local value functions on $H^1(\Omega)$ associated with optimal stabilization problems subject to abstract semilinear parabolic equations in the presence of norm…

Let $A$ be an arbitrary positive selfadjoint operator, defined in a separable Hilbert space $H$. The inverse problems of determining the right-hand side of the equation and the function $\phi$ in the non-local boundary value problem…

We study a new non-classical class of variational problems that is motivated by some recent research on the non-linear revenue problem in the field of economics. This class of problem can be set up as a maximising problem in the Calculus of…

In this paper, we used some theorems of fixed point for studying the results of existence and uniqueness for Hilfer-Hadamard-Type fractional differential equations, \[_{H}D^{\alpha,\beta}x(t)+f(t,x(t))=0, \hbox{ on the interval } J:=(1,e]\]…

In this paper we apply the 4D-Var data assimilation scheme to the initialization problem for a family of quasilinear evolution equations. The resulting variational problem is non-convex, so it need not have a unique minimizer. We comment on…

In this paper the boundary value problem for one class of the operator-differential equations of the third order on a semi-axis, where one of the boundary conditions is perturbed by some linear operator is researched. There are received…

We establish the existence and nonexistence of entire solutions to a semilinear elliptic problem whose nonlinearity is the critical power multiplied by a function that takes the value 1 in an open bounded region and the value -1 in its…

Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include…

We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it in the limit of small $\rho$ = $2r/…

The linear PDE ${\mathbf B} {\mathbf L} (\frac{\partial}{\partial x}) u ={\mathbf L}_1(\frac{\partial}{\partial x})u +f(x)$ with nonclassic conditions on boundary $\partial \Omega$ is considered. Here ${\mathbf B}$ is linear noninvertible…

We consider an elliptic equation in a cone, endowed with (possibly inhomogeneous) Neumann conditions. The operator and the forcing terms can also allow non-Lipschitz singularities at the vertex of the cone. In this setting, we provide…

We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…

We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) action space at each time step. By introducing an enlarged…

We investigate the sufficient conditions for boundedness of one type of difference equations of the form $x(n+1)=ax(n)+f(x(n)) + y(n), \ n\geq 1$ in critical case $|a|=1$. For this equation the following assumptions are introduced: 1) The…

Identifiability describes the possibility of determining the values of the unknown parameters that characterize a dynamic system from the knowledge of its inputs and outputs. This paper finds the general analytical condition that fully…