Machine learning of space-fractional differential equations
Data-driven discovery of “hidden physics''---ie, machine learning of differential equation
models underlying observed data---has recently been approached by embedding the …
models underlying observed data---has recently been approached by embedding the …
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Many financial assets, such as currencies, commodities, and equity stocks, exhibit both
jumps and stochastic volatility, which are especially prominent in the market after the …
jumps and stochastic volatility, which are especially prominent in the market after the …
American and exotic option pricing with jump diffusions and other Levy processes
J Lars Kirkby - Journal of Computational Finance, 2018 - papers.ssrn.com
In general, no analytical formulas exist for pricing discretely monitored exotic options, even
when a geometric Brownian motion governs the risk-neutral underlying. While specialized …
when a geometric Brownian motion governs the risk-neutral underlying. While specialized …
Optimal stopping and early exercise: an eigenfunction expansion approach
L Li, V Linetsky - Operations Research, 2013 - pubsonline.informs.org
This paper proposes a new approach to solve finite-horizon optimal stopping problems for a
class of Markov processes that includes one-dimensional diffusions, birth–death processes …
class of Markov processes that includes one-dimensional diffusions, birth–death processes …
A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
Abstract Continuous time Markov Chain (CTMC) approximation techniques have received
increasing attention in the option pricing literature, due to their ability to solve complex …
increasing attention in the option pricing literature, due to their ability to solve complex …
[HTML][HTML] Robust option pricing with characteristic functions and the B-spline order of density projection
JL Kirkby - Journal of Computational Finance, 2017 - risk.net
This paper extends and refines the method of option pricing by frame projection of
riskneutral densities to incorporate general basis splines (B-splines), including the cubic …
riskneutral densities to incorporate general basis splines (B-splines), including the cubic …
Computable error bounds of Laplace inversion for pricing Asian options
The prices of Asian options, which are among the most important options in financial
engineering, can often be written in terms of Laplace transforms. However, computable error …
engineering, can often be written in terms of Laplace transforms. However, computable error …
Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
We construct efficient and accurate numerical algorithms for pricing discretely monitored
barrier and Bermudan style options under time-changed Lévy processes by applying the fast …
barrier and Bermudan style options under time-changed Lévy processes by applying the fast …
Additive subordination and its applications in finance
J Li, L Li, R Mendoza-Arriaga - Finance and Stochastics, 2016 - Springer
This paper studies additive subordination, which we show is a useful technique for
constructing time-inhomogeneous Markov processes with analytical tractability. This …
constructing time-inhomogeneous Markov processes with analytical tractability. This …
A high order finite difference method for tempered fractional diffusion equations with applications to the CGMY model
X Guo, Y Li, H Wang - SIAM Journal on Scientific Computing, 2018 - SIAM
Using the weighted and shifted Lubich difference (WSLD) operator, we propose an efficient
and stable difference scheme for solving space tempered fractional diffusion equations. The …
and stable difference scheme for solving space tempered fractional diffusion equations. The …