相关论文: On the valuation of Paris options: foundational re…
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is…
A new method is introduced for studying boundary value problems for a class of linear PDEs with {\it variable} coefficients. This method is based on ideas recently introduced by the author for the study of boundary value problems for PDEs…
It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jump-diffusion and Levy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the…
Classical frequentist approaches to inference for the lasso emphasize exact coverage for each feature, which requires debiasing and severs the connection between confidence intervals and the original lasso estimates. To address this, in…
An ordinary differential equation (ODE) model, whose regression curves are a set of solution curves for some ODEs, poses a challenge in parameter estimation. The challenge, due to the frequent absence of analytic solutions and the…
We classify valuations on lattice polygons with values in the ring of formal power series that commute with the action of the affine unimodular group. A typical example of such valuations is induced by the Laplace transform, but as it turns…
Probability-like parameters appearing in some statistical models, and their prior distributions, are reinterpreted through the notion of `circumstance', a term which stands for any piece of knowledge that is useful in assigning a…
The notion of a Laplace ladder for a discrete analogue of the Laplace equation is presented. The adjoint of the discrete Moutard equation and a discrete counterpart of the nonlinear form of Goursat equation are introduced.
As a first step at developing a theory of noncommutative nonlinear elliptic partial differential equations, we analyze noncommutative analogues of Laplace's equation and its variants (some of the them nonlinear) over noncommutative tori.…
Laplacian pyramid based Laurent polynomial (LP$^2$) matrices are generated by Laurent polynomial column vectors and have long been studied in connection with Laplacian pyramidal algorithms in Signal Processing. In this paper, we investigate…
We present a simple and effective method for evaluating double-and single-layer potentials for Laplace's equation in three dimensions close to the boundary. The close evaluation of these layer potentials is challenging because they are…
We study approximations to the Moreau envelope -- and infimal convolutions more broadly -- based on Laplace's method, a classical tool in analysis which ties certain integrals to suprema of their integrands. We believe the connection…
In a recent significant advance, using Laguerre series, the valuation of Asian options has been reduced by Dufresne to computing the negative moments of Yor's accumulation processes. For these he has given functional recursion rules whose…
We consider the pricing of derivatives written on the discretely sampled realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limit, the quadratic variation of…
We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential L\'evy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional…
We correct a common (but mistaken) attribution of the evaluation of the probability integral, usually attributed to Poisson, Gauss, or Laplace.
In numerical existence proofs for solutions of the semi-linear elliptic system, evaluating the norm of the inverse of a perturbed Laplace operator plays an important role. We reveal an eigenvalue problem to design a method for verifying the…
We consider closed-form approximations for European put option prices within the Heston and GARCH diffusion stochastic volatility models with time-dependent parameters. Our methodology involves writing the put option price as an expectation…
We intend to realize the step-up and step-down operators of the potential $V(x)=V_{1}e^{2\beta x}+V_{2}e^{\beta x}$. It is found that these operators satisfy the commutation relations for the SU(2) group. We find the eigenfunctions and the…
The presence of discrete dividends complicates the derivation and form of pricing formulas even for vanilla options. Existing analytic, numerical, and theoretical approximations provide results of varying quality and performance. Here, we…