arXiv research

A new method uses deep learning to price barrier options.

A mean-convex set can be regarded as a barrier for the construction of minimal surfaces. Namely, if we are given a mean-convex set and a null-homotopic Jordan curve on its boundary, then there exists an embedded minimal disk with boundary the given curve contained in the starting mean-convex set. Does a mean-convex set…

Deep learning solves barrier options with stochastic volatility.

We develop the notion of Brakke flow with free-boundary in a barrier surface. Unlike the classical free-boundary mean curvature flow, the free-boundary Brakke flow must "pop" upon tangential contact with the barrier. We prove a compactness theorem for free-boundary Brakke flows, define a Gaussian monotonicity formula v…

We consider the mean curvature flow of compact convex surfaces in Euclidean $3$-space with free boundary lying on an arbitrary convex barrier surface with bounded geometry. When the initial surface is sufficiently convex, depending only on the geometry of the barrier, the flow contracts the surface to a point in finite…

Improved barrier option pricing in Heston model using COS-BEM method.

This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on dividend-paying-stocks. Moreover, the barriers may be monitored either continuously or disc…

Paper applies subdiffusive dynamics to American and barrier options pricing.

Study asymptotic behavior of translators in hyperbolic product space.

Alternative solvability criterion for minimal surface equations and mean curvature flow.

Path integral method calculates PDBS option prices with time-dependent parameters.

New method tackles bilevel optimization with polyhedral constraints.

Study shows distance to boundary is always attained on varifolds with bounded curvature.

We prove the convexity estimates of Huisken-Sinestrari for finite-time singularities of mean-convex, mean curvature flow with free boundary in a barrier $S$. Here $S$ can be any properly embedded, oriented surface in $R^{n+1}$ of bounded geometry. We also give an alternative proof that convex mean curvature flows with …

Many problems in statistical learning, imaging, and computer vision involve the optimization of a non-convex objective function with singularities at the boundary of the feasible set. For such challenging instances, we develop a new interior-point technique building on the Hessian-barrier algorithm recently introduced …

We construct asymptotically Euclidean solutions of the vacuum Einstein constraint equations with an apparent horizon boundary condition. Specifically, we give sufficient conditions for the constant mean curvature conformal method to generate such solutions. The method of proof is based on the barrier method used by Ise…

Sharp generalization of boundary regularity for area minimizing currents with arbitrary multiplicity.

Study on existence and structure of P-area surfaces in Heisenberg group.

Develops a new method for pricing barrier options in time-dependent Heston model.

The conditional-mean barrier helps diagnose deterministic surrogates missing uncertainty.

We study and solve the Dirichlet problem for graphs of prescribed mean curvature in $\mathbb R^{n+1}$ over general domains $Ω$ without requiring a mean convexity assumption. By using pieces of nodoids as barriers we first give sufficient conditions for the solvability in case of zero boundary values. Applying a result …

We prove the existence and uniqueness of radial graphs over a given domain of $\mathbb{S}^{n}$ having boundary on the sphere $\mathbb{S}^{n}$ and whose mean curvature at every point equals a prescribed positive function satisfying suitable barrier-type and monotonicity conditions.

Study curve shortening flow in high dimensions with boundary constraints.

The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion process. The present paper aims to give a mathematical credit to the use of the numerical scheme for Heston or SABR type stochastic volatility model…

As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the solution of PDE and the solution of a backward stochastic differential equation (BSDE). We can either solve the PDE to obtain option prices or…

We prove the existence of classical solutions to the Dirichlet problem for the $α$-translating soliton equation defined in a strip of $\r^2$. We use the Perron method where a family of grim reapers are employed as barriers for solving the Dirichlet problem when the boundary data is formed by two copies of a convex func…

The paper calculates prices for multi-step barrier options under the Black-Scholes model.

We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm uses the weak Euler approximation far from barriers and a special construction motivated by linear interpolation of the price near barriers. I…

In this paper we describe all rotation $H$-hypersurfaces in $H^n \times R$ and use them as barriers to prove existence and characterization of certain vertical $H$-graphs and to give symmetry and uniqueness results for compact $H$-hypersurfaces whose boundary is one or two parallel submanifolds in slices. We also descr…

We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose …

A time-dependent double-barrier option is a derivative security that delivers the terminal value $φ(S_T)$ at expiry $T$ if neither of the continuous time-dependent barriers $b_\pm:[0,T]\to \RR_+$ have been hit during the time interval $[0,T]$. Using a probabilistic approach we obtain a decomposition of the barrier opti…

We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing metho…

This paper considers some fundamental questions concerning marginally trapped surfaces, or apparent horizons, in Cauchy data sets for the Einstein equation. An area estimate for outermost marginally trapped surfaces is proved. The proof makes use of an existence result for marginal surfaces, in the presence of barriers…

Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.

We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relati…

Hamiltonian method applied to floating barrier options pricing.

New CMC existence result for expanding cosmological spacetimes.

We construct geometric barriers for minimal graphs in H^n xR. We prove the existence and uniqueness of a solution of the vertical minimal equation in the interior of a convex polyhedron in H^n extending continuously to the interior of each face, taking infinite boundary data on one face and zero boundary value data on …

Unified pricing method for FX options with barriers.

Root's barrier is continuous and finite under certain conditions.

In this paper, we investigate the problem of finding minimal graphs in $M^n\times\mathbb R$ with general boundary conditions using a variational approach. We look at so called generalized solutions of the Dirichlet Problem that minimize a functional adapted from the area functional. We construct barriers to show that f…

Path integral method calculates barrier option prices.

Consider a sequence of minimal varieties M_i in a Riemannian manifold N such that the boundary measures are uniformly bounded on compact sets. Let Z be the set of points at which the areas of the M_i blow up. We prove that Z behaves in some ways like a minimal variety without boundary: in particular, it satisfies the s…

We study the minimal surface equation in the Heisenberg space, Nil_3. A geometric proof of non existence of minimal graphs over non convex, bounded and unbounded domains is achieved (our proof holds in the Euclidean space as well). We solve the Dirichlet problem for the minimal surface equation over bounded and unbound…

Research provides explicit NPV expressions for double barrier strategies.

New symplectic barriers found in ball embeddings.

Minimal surfaces with complex branching structures constructed using various methods.

Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and estimating the corresponding execution probabilities. We show that the proposed method always outperforms the standard Monte Carlo approach an…