Itô-Skorohod stochastic equations and applications to finance.
Tudor, Ciprian A. (2004)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Spectral approximation of infinite-dimensional Black-Scholes equations with memory.”
Itô-Skorohod stochastic equations and applications to finance.
Introduction to the Theory of the It-type Stochastic Integrals and Stochastic Differential Equations
Svetlana Janković (1998)
Zbornik Radova
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Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
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On changes of measure in stochastic volatility models.
Wong, Bernard, Heyde, C.C. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
Łukasz Delong (2012)
Applicationes Mathematicae
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We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which...
Exponential stability of modified stochastic approximation procedure.
Rodkina, Alexandra, Lynch, O'Neil (2002)
Applied Mathematics E-Notes [electronic only]
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Pricing variance swaps for stochastic volatilities with delay and jumps.
Swishchuk, Anatoliy, Xu, Li (2011)
International Journal of Stochastic Analysis
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On some stochastic parabolic differential equations in a Hilbert space.
El-Nadi, Khairia El-Said (2005)
Journal of Applied Mathematics and Stochastic Analysis
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Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II.
Chang, Mou-Hsiung (2007)
Journal of Applied Mathematics and Stochastic Analysis
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A maximum principle approach to risk indifference pricing with partial information.
An, Ta Thi Kieu, Øksendal, Bernt, Proske, Frank (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Local volatility in the Heston model: a Malliavin calculus approach.
Ewald, Christian-Oliver (2005)
Journal of Applied Mathematics and Stochastic Analysis
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On European option pricing under partial information
Meng Wu, Jue Lu, Nan-jing Huang (2016)
Applications of Mathematics
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We consider a European option pricing problem under a partial information market, i.e., only the security's price can be observed, the rate of return and the noise source in the market cannot be observed. To make the problem tractable, we focus on gap option which is a generalized form of the classical European option. By using the stochastic analysis and filtering technique, we derive a Black-Scholes formula for gap option pricing with dividends under partial information. Finally, we...