arXiv research

New method for pricing options in stochastic volatility models.

We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to standard finite difference methods in different examples. We observe that the new scheme outperforms a standard, second-order central finite dif…

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential equation. The scheme is fourth order accurate in space and second order accurate in ti…

Algorithm solves American options with regime-switching using multigrid and compact finite difference.

We extend the scheme developed in B. Düring, A. Pitkin, "High-order compact finite difference scheme for option pricing in stochastic volatility jump models", 2019, to the so-called stochastic volatility with contemporaneous jumps (SVCJ) model, derived by Duffie, Pan and Singleton. The performance of the scheme is asse…

In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American options respectively are discretized using Crank-Nicolson Leap-Frog scheme. In pro…

A new method for pricing options with stochastic volatility and jumps.

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results like unconditional stability in the sense of von Neumann are presented. Where the a…

We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In our numerical study we obtain high-order numerical convergence also for non-zero …

We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in finance, the Tavella-Randall and the quadratic meshes the numerical solution has a fourth-order accuracy in space. Numerical experiments are di…

Krein's formula for conic Laplacians on compact Riemann surfaces

The paper uses polyhedral expansions to capture the shape of compact metric spaces.

We give an explicit formula for the $L^2$ analytic torsion of the finite metric cone over an oriented compact connected Riemannian manifold. We provide an interpretation of the different factors appearing in this formula. We prove that the analytic torsion of the cone is the finite part of the limit obtained collapsing…

Consider an orientable compact surface in three dimensional Euclidean space with minimum total absolute curvature. If the Gaussian curvature changes sign to finite order and satisfies a nondegeneracy condition along closed asymptotic curves, we show that any other isometric surface differs by at most a Euclidean motion…

We present a new high-order compact scheme for the multi-dimensional Black-Scholes model with application to European Put options on a basket of two underlying assets. The scheme is second-order accurate in time and fourth-order accurate in space. Numerical examples confirm that a standard second-order finite differenc…

The paper sets new limits on hyperbolic polyhedra volumes.

It is proved that no region of a homogeneous locally compact, locally connected metric space can be cut by an $F_σ$-subset of a "smaller" dimension. The result applies to different finite or infinite topological dimensions of metrizable spaces.

Study Hessian equations on compact Kähler manifolds with prescribed singularities.

Researchers decompose hyperbolic n-manifolds with totally geodesic boundaries into polyhedral cells.

Compact learning results across various loss functions.

We classify all harmonic maps with finite uniton number from a Riemann surface into an arbitrary compact simple Lie group $G$, whether $G$ has trivial centre or not, in terms of certain pieces of the Bruhat decomposition of the group $Ω_\mathrm{alg}{G}$ of algebraic loops in $G$ and corresponding canonical elements. Th…

We consider a system of coupled free boundary problems for pricing American put options with regime-switching. To solve this system, we first employ the logarithmic transformation to map the free boundary for each regime to multi-fixed intervals and then eliminate the first-order derivative in the transformed model by …

Classifies compact spaces by shape, finite spaces by weak homotopy.

The paper explores conditions for compactness and finiteness in stratified homotopy theory.

We contribute to an original problem studied by Hamilton and others, in order to understand the behaviour of maximal solutions of the Ricci flow both in compact and non-compact complete orientable Riemannian manifolds of finite volume. The case of dimension two has peculiarities, which force us to use different ideas f…

Characterizes compact complex surfaces with finite homotopy rank-sum.

Finite vector bundles over complex manifolds are trivializable via finite covers.

Compact curve solution emerges from non-compact curve.

We study compact Riemannian manifolds for which the light between any pair of points is blocked by finitely many point shades. Compact flat Riemannian manifolds are known to have this finite blocking property. We conjecture that amongst compact Riemannian manifolds this finite blocking property characterizes the flat m…

For bounded pseudoconvex domains with finite type we give a precise description of the automorphism group: if an orbit of the automorphism group accumulates on at least two different points of the boundary, then the automorphism group has finitely many components and is the almost direct product of a compact group and …

For convex domains with $C^{1,ε}$ boundary we give a precise description of the automorphism group: if an orbit of the automorphism group accumulates on at least two different closed complex faces of the boundary, then the automorphism group has finitely many components and the connected component of the identity is th…

Study compares and unifies finiteness properties of locally compact groups.

We prove the following theorem for Holomorphic Foliations in compact complex kaehler manifolds: if there is a compact leaf with finite holonomy, then every leaf is compact with finite holonomy. As corollary we reobtain stability theorems for compact foliations in Kaehler manifolds of Edwards-Millett-Sullivan and Hollma…

New method solves complex financial option pricing with varying time steps.

Survey of recent results on homogeneous finite-dimensional spaces.

Study on compact and finite-type support in mapping class group homology.

Compact manifolds with boundary have finite type mapping class groups.

Universal spaces for finite topological spaces simplify shape descriptions.

Enhances CEV model pricing with high-order scheme and adaptive time stepping.

We prove a finiteness result for the $\partial$-patterned guts decomposition of all 3-manifolds obtained by splitting a given orientable, irreducible and $\partial$-irreducible 3-manifold along a closed incompressible surface. Then using the Thurston norm, we deduce that the JSJ-pieces of all 3-manifolds dominated by a…

Study shows how certain spaces can be mapped to R^n with specific properties.

We prove there exists a compact embedded minimal surface in a complete finite volume hyperbolic $3$-manifold $\mathcal{N}$. We also obtain a least area, incompressible, properly embedded, finite topology, $2$-sided surface. We prove a properly embedded minimal surface of bounded curvature has finite topology. This dete…

Ancient curve flows classified into specific types.

Compact holonomy groups found in symmetric spaces.

Let G be a finitely generated group having the property that any action of any finite-index subgroup of G by homeomorphisms of the circle must have a finite orbit. (By a theorem of E.Ghys, lattices in simple Lie groups of real rank at least two have this property.) Suppose that such a G acts on a compact manifold M by …

Study entropy bounds and finiteness for symmetric self-shrinkers.

Study Brownian loops on hyperbolic surfaces, linking to Selberg zeta function.

The study shows a finite number of groups acting on hyperbolic spaces with bounded entropy and compact quotient.