Results 11 to 20 of about 8,689 (223)
On Some Results of the Nonuniqueness of Solutions Obtained by the Feynman–Kac Formula
Mathematics, 2023 The Feynman–Kac formula establishes a link between parabolic partial differential equations and stochastic processes in the context of the Schrödinger equation in quantum mechanics.
Byoung Seon Choi, Moo Young Choi
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Integral equation characterization of the Feynman–Kac formula for a regime-switching diffusion
Results in Applied Mathematics, 2020 In this paper, we provide an integral equation characterization of the solution to a Cauchy problem associated to the Feynman–Kac formula for a regime-switching diffusion.
Adriana Ocejo
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Pricing of Quanto power options and related exotic options
Results in Applied Mathematics, 2023 The objective of this work is threefold. Firstly, to derive the no-arbitrage premium of the α-Quanto option with power type payoff. Secondly, to price the Quanto option of power payoff when the underlying foreign currency is driven by Brownian motion and
Javed Hussain
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Work fluctuation theorem for a Brownian particle in a nonconfining potential
Physical Review Research, 2021 Using the Feynman-Kac formula, a work fluctuation theorem for a Brownian particle in a nonconfining potential, e.g., a potential well with finite depth, is derived.
Christoph Streißnig, Holger Kantz
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Fractal and Fractional, 2022 This paper presents an explicit formula of conditional expectation for a product of polynomial functions and the discounted characteristic function based on the Cox–Ingersoll–Ross (CIR) process.
Ratinan Boonklurb +3 more
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A closed-form pricing formula for European options in an illiquid asset market
Financial Innovation, 2022 This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid. A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of
Puneet Pasricha +2 more
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Feynman-Kac formula for heat equation driven by fractional white noise [PDF]
, 2010 We establish a version of the Feynman-Kac formula for the multidimensional stochastic heat equation with a multiplicative fractional Brownian sheet. We use the techniques of Malliavin calculus to prove that the process defined by the Feynman-Kac formula ...
Hu, Yaozhong, Nualart, David, Song, Jian
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Mean–variance hedging of contingent claims with random maturity
Mathematical Finance, Volume 33, Issue 4, Page 1213-1247, October 2023., 2023 Abstract We study the mean–variance hedging of an American‐type contingent claim that is exercised at a random time in a Markovian setting. This problem is motivated by applications in the areas of employee stock option valuation, credit risk, or equity‐linked life insurance policies with an underlying risky asset value guarantee. Our analysis is based
Kamil Kladívko, Mihail Zervos
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Stats, 2021 We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method.
Sahar Albosaily +1 more
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Feynman-Kac representation of fully nonlinear PDEs and applications [PDF]
, 2014 The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic processes driven by Brownian motion.
Pham, Huyen
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