相关论文: On the valuation of arithmetic-average Asian optio…
We study logarithmic integrals of the form $\int_0^1 x^i\ln^n(x)\ln^m(1-x)dx$. They are expressed as a rational linear combination of certain rational numbers $(n,m)_i$, which we call tiered binomial coefficients, and products of the zeta…
Affine processes play an important role in mathematical finance and other applied areas due to their tractable structure. In the present article, we derive probabilistic representations and integration by parts (IBP) formulas for…
Commutative hypercomplex algebras offer significant advantages over traditional quaternions due to their compatibility with linear algebra techniques and efficient computational implementation, which is crucial for broad applicability. This…
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of…
An efficient algorithm and a Fortran 90 module (LaguerrePol) for computing Laguerre polynomials $L^{(\alpha)}_n(z)$ are presented. The standard three-term recurrence relation satisfied by the polynomials and different types of asymptotic…
In the study of Zeilberger's conjecture on an integer sequence related to the Catalan numbers, Lassalle proposed the following conjecture. Let $(t)_n$ denote the rising factorial, and let $\Lambda_{\mathbb{R}}$ denote the algebra of…
This paper is a complement of the modularity result of Bruinier, Howard, Kudla, Rapoport and Yang (BHKRY) for the special case $U(1,1)$ not considered there. The main idea to embed a $U(1, 1)$ Shimura curve to many $U(n-1, 1)$ Shimura…
The Fourier transforms of Laguerre functions play the same canonical role in wavelet analysis as do the Hermite functions in Gabor analysis. We will use them as analyzing wavelets in a similar way the Hermite functions were recently by K.…
In this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American options in two dimensional domain. We focus on the L-MPFA method for space discretization…
We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian options are derivative contracts in which the underlying variable…
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfolios generated by positive C^{2,1} functions of asset prices…
We introduce an alternative to the notion of `fast rate' in Learning Theory, which coincides with the optimal error rate when the given class happens to be convex and regular in some sense. While it is well known that such a rate cannot…
In this paper we obtain $L^1$-weighted norms of classical orthogonal polynomials (Hermite, Laguerre and Jacobi polynomials) in terms of the zeros of these orthogonal polynomials; these expressions are usually known as quadrature rules. In…
In this paper we provide a quantum Monte Carlo algorithm to solve multidimensional Black-Scholes PDEs with correlation for option pricing. The payoff function of the option is of general form and is only required to be continuous and…
Liu and Liu introduced the random Fourier transform, which is a random Fourier series in Hermite functions, and applied it to image encryption and decryption. They expected its applications in optics and information technology. These…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
We derive integral representations for six families of multiple Ap\'ery-like series using repeated integration by parts and Fourier expansions. The resulting formulas are expressed in terms of polylogarithms, Legendre chi functions, and…
We give a comprehensive treatment of the transformation laws of theta functions from an algebro-geometric perspective, that is, in terms of moduli of abelian schemes. This is accomplished by introducing geometric notions of theta-descent…
We study special values of regularized theta lifts at complex multiplication (CM) points. In particular, we show that CM values of Borcherds products can be expressed in terms of finitely many Fourier coefficients of certain harmonic weak…
Congruences of Fourier coefficients of modular forms have long been an object of central study. By comparison, the arithmetic of other expansions of modular forms, in particular Taylor expansions around points in the upper-half plane, has…