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A probability density function estimation using F-transform

Michal HolčapekTomaš Tichý — 2010


The aim of this paper is to propose a new approach to probability density function (PDF) estimation which is based on the fuzzy transform (F-transform) introduced by Perfilieva in [10]. Firstly, a smoothing filter based on the combination of the discrete direct and continuous inverse F-transform is introduced and some of the basic properties are investigated. Next, an alternative approach to PDF estimation based on the proposed smoothing filter is established and compared with the most used method...

DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike

Jiří HozmanTomáš Tichý — 2017

Applications of Mathematics

Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two...

DG method for the numerical pricing of two-asset European-style Asian options with fixed strike

Jiří HozmanTomáš Tichý — 2017

Applications of Mathematics

The evaluation of option premium is a very delicate issue arising from the assumptions made under a financial market model, and pricing of a wide range of options is generally feasible only when numerical methods are involved. This paper is based on our recent research on numerical pricing of path-dependent multi-asset options and extends these results also to the case of Asian options with fixed strike. First, we recall the three-dimensional backward parabolic PDE describing the evolution of European-style...

DG method for pricing European options under Merton jump-diffusion model

Jiří HozmanTomáš TichýMiloslav Vlasák — 2019

Applications of Mathematics

Under real market conditions, there exist many cases when it is inevitable to adopt numerical approximations of option prices due to non-existence of analytical formulae. Obviously, any numerical technique should be tested for the cases when the analytical solution is well known. The paper is devoted to the discontinuous Galerkin method applied to European option pricing under the Merton jump-diffusion model, when the evolution of the asset prices is driven by a Lévy process with finite activity....

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