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

We investigate critical properties of a class of number-conserving cellular automata (CA) which can be interpreted as deterministic models of traffic flow with anticipatory driving. These rules are among the only known CA rules for which…

We consider a quasi-linear parabolic equation with nonlinear dynamic boundary conditions occurring as a natural generalization of the semilinear reaction-diffusion equation with dynamic boundary conditions. The corresponding class of…

In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The basic idea is that the volatility elasticity of the CEV model…

We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…

In 2002, J.M.Rassias (Uniqueness of quasi-regular solutions for bi-parabolic elliptic bi-hyperbolic Tricomi problem, Complex Variables, 47 (8) (2002), 707-718) imposed and investigated the bi-parabolic elliptic bi-hyperbolic mixed type…

We develop a singular pseudodifferential calculus. The symbols that we consider do not satisfy the standard decay with respect to the frequency variables. We thus adopt a strategy based on the Calderon-Vaillancourt Theorem. The remainders…

Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in…

In this paper, we consider the Laplace equation with a class of indefinite superlinear boundary conditions and study the uniqueness of positive solutions that this problem possesses. Superlinear elliptic problems can be expected to have…

We study the behavior of the critical price of an American put option near maturity in the exponential L\'evy model when the underlying stock pays dividends at a continuous rate. In particular, we prove that, in situations where the limit…

In the present paper we prove uniqueness results for solutions to a class of Neumann boundary value problems whose prototype is --div((1 + |$\nabla$u| 2) (p--2)/2 $\nabla$u) -- div(c(x)|u| p--2 u) = f in $\Omega$, (1 + |$\nabla$u| 2)…

We characterize the price of a European option on several assets for a very risk averse seller, in a market with small transaction costs as a solution of a nonlinear diffusion equation. This problem turns out to be one of asymptotic…

The continuous dependence of solutions to certain (non-autonomous, partial, integro-differential-algebraic, evolutionary) equations on the coefficients is addressed. We give criteria that guarantee that convergence of the coefficients in…

We consider the 2D incompressible Euler equation on a bounded simply connected domain $\Omega$. We give sufficient conditions on the domain $\Omega$ so that for all initial vorticity $\omega_0 \in L^{\infty}(\Omega)$ the weak solutions are…

We prove the existence of unique solutions to the Dirichlet boundary value problems for linear second-order uniformly parabolic operators in either divergence or non-divergence form with boundary blowup low-order coefficients. The domain is…

We study existence and uniqueness of solutions for second order ordinary stochastic differential equations with Dirichlet boundary conditions on a given interval. In the first part of the paper we provide sufficient conditions to ensure…

In this article we provide existence, uniqueness and regularity results of a degenerate singular elliptic boundary value problem whose prototype is given by \begin{gather*} \begin{cases} -\operatorname{div}(w(x)|\nabla u|^{p-2}\nabla…

In Bender and Dokuchaev (2013), we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process of this control problem can be uniquely characterized in…

We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first…

Vector calculus in three dimensions with a Euclidian metric is the lingua franca of classical physics, including classical electrodynamics. This article corrects some long-standing imprecision in a fundamental result. Some textbooks assert…

In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian option prices with a small volatility interval. By imposing…