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

In this paper we study one dimensional parabolic free boundary value problem with a nonlocal (integro-differential) condition on the free boundary. We establish global existence-uniqueness of classical solutions assuming that the…

We prove the necessity part of the higher-order Szeg\H{o} theorem on the unit circle for the single-critical-point weights $H_m(e^{i\theta})=(1-\cos\theta)^m$, $m\ge1$. If $\{\alpha_n\}_{n\ge0}$ are the Verblunsky coefficients of a…

In this survey we provide an overview of nonlinear elliptic homogeneous boundary value problems featuring singular zero-order terms with respect to the unknown variable whose prototype equation is $$ -\Delta u = {u^{-\gamma}} \ \text{in}\…

In this paper we show the uniqueness of the critical point for \emph{semi-stable} solutions of the problem $$\begin{cases} -\Delta u=f(u)&\text{in }\Omega\\ u>0&\text{in }\Omega\\ u=0&\text{on } \partial\Omega,\end{cases}$$ where…

The critical behaviour of directed self-avoiding walks is studied on parabolic-like systems with a free boundary at x=\pm Ct^\alpha. Using a scaling argument, 1/C is shown to be a marginal variable when \alpha=\nu_\perp/\nu_\parallel=1/2,…

We investigate second order additive invariants in elementary cellular automata rules. Fundamental diagrams of rules which possess additive invariants are either linear or exhibit singularities similar to singularities of rules with…

We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that…

This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and on the investigation of differential and certain qualitative…

This paper investigates an initial-Neumann boundary value problem for a Keller--Segel system with parabolic-parabolic-ODE coupling. The model incorporates a signal-dependent, non-increasing motility function that, through indirect signal…

We consider an inverse boundary value problem for the doubly nonlinear parabolic equation \[ \epsilon(x)\partial_t u^m-\nabla\cdot\bigl(\gamma(x)|\nabla u|^{p-2}\nabla u\bigr)=0 \quad\text{in }(0,T)\times\Omega, \] where…

This paper study the well--posedness of the entropy formulation given by Plotnikov in [{Differential Equations}, 30 (1994), pp. 614--622] for forward-backward parabolic problem obtained as singular limit of a proper pseudoparabolic…

The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method how to transform the problem into a…

We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we model the asset price evolution as solution to a linear…

Nonclassical properties of correlations-- like unpredictability, no-cloning and uncertainty-- are known to follow from two assumptions: nonlocality and no-signaling. For two-input-two-output correlations, we derive these properties from a…

In this article we exploite the uniform decay for damped linear wave equation with Zaremba boundary condition, obtained in a previous work, to treat the same problem in nonlinear context. We need a uniqueness assumption, usual for this type…

We generalize the Beurling--Deny--Ouhabaz criterion for parabolic evolution equations governed by forms to the non-autonomous, non-homogeneous and semilinear case. Let $V, H$ are Hilbert spaces such that $V$ is continuously and densely…

We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizing the variance (hedging risk) of the…

We propose a numerical procedure for computing the prices of European options, in which the underlying asset price is a Markovian strict local martingale. If the underlying process is a strict local martingale and the payoff is of linear…

In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learning approach to determine option prices and hedging strategies…

A first-order ordinary differential equation, solved with respect to derivative, is considered. It's right-hand side is defined and continuous on the set, consisting of a connected open subset of a two-dimensional Euclidean space and a part…