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Wavelet method for option pricing under the two-asset Merton jump-diffusion model

Černá, Dana (2021)

Programs and Algorithms of Numerical Mathematics

This paper examines the pricing of two-asset European options under the Merton model represented by a nonstationary integro-differential equation with two state variables. For its numerical solution, the wavelet-Galerkin method combined with the Crank-Nicolson scheme is used. A drawback of most classical methods is the full structure of discretization matrices. In comparison, the wavelet method enables the approximation of discretization matrices with sparse matrices. Sparsity is essential for the...

Weak solutions of differential equations in Banach spaces

Mieczysław Cichoń (1995)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

In this paper we prove a theorem for the existence of pseudo-solutions to the Cauchy problem, x' = f(t,x), x(0) = x₀ in Banach spaces. The function f will be assumed Pettis-integrable, but this assumption is not sufficient for the existence of solutions. We impose a weak compactness type condition expressed in terms of measures of weak noncompactness. We show that under some additionally assumptions our solutions are, in fact, weak solutions or even strong solutions. Thus, our theorem is an essential...

Weighted inequalities for commutators of one-sided singular integrals

María Lorente, María Silvina Riveros (2002)

Commentationes Mathematicae Universitatis Carolinae

We prove weighted inequalities for commutators of one-sided singular integrals (given by a Calder’on-Zygmund kernel with support in ( - , 0 ) ) with BMO functions. We give the one-sided version of the results in C. Pérez, Sharp estimates for commutators of singular integrals via iterations of the Hardy-Littlewood maximal function, J. Fourier Anal. Appl., vol. 3 (6), 1997, pages 743–756 and C. Pérez, Endpoint estimates for commutators of singular integral operators, J. Funct. Anal., vol 128 (1), 1995, pages...

Weighted L Φ integral inequalities for operators of Hardy type

Steven Bloom, Ron Kerman (1994)

Studia Mathematica

Necessary and sufficient conditions are given on the weights t, u, v, and w, in order for Φ 2 - 1 ( ʃ Φ 2 ( w ( x ) | T f ( x ) | ) t ( x ) d x ) Φ 1 - 1 ( ʃ Φ 1 ( C u ( x ) | f ( x ) | ) v ( x ) d x ) to hold when Φ 1 and Φ 2 are N-functions with Φ 2 Φ 1 - 1 convex, and T is the Hardy operator or a generalized Hardy operator. Weak-type characterizations are given for monotone operators and the connection between weak-type and strong-type inequalities is explored.

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