相关论文: On the valuation of Asian options: integral repres…

We study super-replication of contingent claims in markets with delayed filtration. The first result in this paper reveals that in the Black--Scholes model with constant delay the super-replication price is prohibitively costly and leads to…

In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…

It was demonstrated previously that the stochastic volatility emerges as the gauge field necessary for restoring the local symmetry under changes of the prices of the stocks inside the Black-Scholes (BS) equation. When this occurs, then a…

Drawing insights from the triumph of relativistic over classical mechanics when velocities approach the speed of light, we explore a similar improvement to the seminal Black-Scholes (Black and Scholes (1973)) option pricing formula by…

Information compression plays a central role in diverse fields of modern science and technology, from communication theory to machine learning. In condensed-matter physics, the intermediate representation (IR) basis has recently been…

The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In particular, an exponentially decreasing structure is proposed…

We build a methodology that takes a given option price in the tails with strike $K$ and extends (for calls, all strikes > $K$, for puts all strikes $< K$) assuming the continuation falls into what we define as "Karamata Constant" over which…

The paper proposes a different method of solving a simplified version of the Black-Scholes equation. This paper will discuss the importance of the Black-Scholes equation and its applications in finance.

In this paper, we present an implicit finite difference method for the numerical solution of the Black-Scholes model of American put options without dividend payments. We combine the proposed numerical method by using a front fixing…

We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…

The purpose of this manuscript is to derive two distinct integral representations of the generalized polylogarithm using two different techniques. The first approach involves the Dirichlet series and its Laplace representation, which leads…

Using Maple, we compute a new exact series solution of a modified Black-Scholes equation, recently proposed, for the case of the Aunt Michaela option with a maturity condition of gamma type. We show that the modified Black-Scholes equation…

We utilize a combination of integral transforms, including the Laplace transform, with some classical results in analytic number theory concerning the Riemann $\xi$-function, to obtain a new integral equation. We also provide a new proof of…

In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to…

The mean objective of this paper is to derive an explicit formula for a price of an European option associated to the underlying delayed stock price which follows a linear differential equation with a general delay in the drift term. We use…

This paper deals with the problem of factorizing integer powers of the Laplace operator acting on functions taking values in higher spin representations. This is a far-reaching generalization of the well-known fact that the square of the…

This work studies the valuation of currency options in markets suffering from a financial crisis. We consider a European option where the underlying asset is a foreign currency. We assume that the value of the underlying asset is a…

The pricing of financial derivatives, which requires massive calculations and close-to-real-time operations under many trading and arbitrage scenarios, were largely infeasible in the past. However, with the advancement of modern computing,…

In our previous paper q-alg/9605011 we proposed several algebraic methods for constructing new solutions to the bispectral problem. In the present note the corresponding eigenfunctions are explicitly constructed as multiple Laplace…

We define a number of natural (from geometric and combinatorial points of view) deformation spaces of valuations on finite graphs, and study functions over these deformation spaces. These functions include both direct metric invariants…