SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS

2018 ◽  
Vol 21 (01) ◽  
pp. 1850009 ◽  
Author(s):  
LOUIS BHIM ◽  
REIICHIRO KAWAI
Keyword(s):  
Sufficient Conditions ◽  
Sample Path ◽  
Statistical Error ◽  
Upper Bounds ◽  
State Variables ◽  
Price Function ◽  
Polynomial Coefficients ◽  
Volatility Models ◽  
Piecewise Polynomial Functions ◽  
American Style

We introduce a new approach for systematically obtaining smooth deterministic upper bounds for the price function of American style options. These bounding functions are characterized by sufficient conditions, under which the bounds may be infimized. In a single implementation, the proposed approach obtains explicit bounds in the form of piecewise polynomial functions, which bound the price function from above over the whole problem domain both in time and state. As a consequence, these global bounds store a continuum of information in the form of a finite number of polynomial coefficients. The proposed approach achieves these bounds, free from statistical error, without recourse to sample path simulation, without truncating the naturally unbounded domain that arises in this problem, and without discretizing the time and state variables. Throughout the paper, we demonstrate the effectiveness of the proposed method in obtaining tight upper bounds for American style option prices in a variety of market models and with various payoff structures, such as the multivariate Black Scholes and Heston stochastic volatility models and the American put and butterfly payoff structures. We also discuss extensions of the proposed methodology to perpetual American style options and frameworks in which the underlying asset contains jumps.

Simple Bounds and Monotnicity the Call Congestion of Finite Multiserver Delay Systems

1988 ◽  
Vol 2 (1) ◽  
pp. 129-138 ◽  
Author(s):  
Nico M van Dijk ◽  
Pantelis Tsoucas ◽  
Jean Walrand
Keyword(s):  
Optimal Design ◽  
Sample Path ◽  
Upper Bounds ◽  
Monotonicity Property ◽  
Delay Systems ◽  
Asymptotic Result ◽  
Lower And Upper Bounds ◽  
Waiting Room ◽  
Numerical Evidence ◽  
Simple Bounds

Simple and insensitive lower and upper bounds are proposed for the call congestion of M/GI/c/n queues. To prove them we establish the general monotonicity property that increasing the waiting room and/or the number of servers in a /GI/c/n queue increases the throughput. An asymptotic result on the number of busy servers is obtained as a consequence of the bounds. Numerical evidence as well as an application to optimal design illustrates the potential usefulness for engineering purposes. The proof is based on a sample path argument.

Chaos Anti-Synchronization between Chen System and Lu System

2014 ◽  
Vol 631-632 ◽  
pp. 710-713 ◽  
Author(s):  
Xian Yong Wu ◽  
Hao Wu ◽  
Hao Gong
Keyword(s):  
Chaotic Systems ◽  
Sufficient Conditions ◽  
Lyapunov Theory ◽  
State Variables ◽  
Chen System ◽  
System Parameters ◽  
Control Scheme ◽  
Error Dynamics ◽  
The Stability ◽  
Different Chaotic Systems

Anti-synchronization of two different chaotic systems is investigated. On the basis of Lyapunov theory, adaptive control scheme is proposed when system parameters are unknown, sufficient conditions for the stability of the error dynamics are derived, where the controllers are designed using the sum of the state variables in chaotic systems. Numerical simulations are performed for the Chen and Lu systems to demonstrate the effectiveness of the proposed control strategy.

System Properties of One-Dimensional Distributed Systems

1977 ◽  
Vol 99 (2) ◽  
pp. 85-90 ◽  
Author(s):  
L. S. Bonderson
Keyword(s):  
Distributed Systems ◽  
Sufficient Conditions ◽  
State Variables ◽  
One Dimensional ◽  
First Order ◽  
Lumped Element ◽  
Order Form ◽  
Power Product ◽  
System Properties ◽  
Necessary And Sufficient

The system properties of passivity, losslessness, and reciprocity are defined and their necessary and sufficient conditions are derived for a class of linear one-dimensional multipower distributed systems. The utilization of power product pairs as state variables and the representation of the dynamics in first-order form allows results completely analogous to those for lumped-element systems.

Positive fractional continuous-time linear systems with singular pencils

2012 ◽  
Vol 60 (1) ◽  
pp. 9-12 ◽  
Author(s):  
T. Kaczorek
Keyword(s):  
Linear Systems ◽  
Continuous Time ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Descriptor Systems ◽  
State Variables ◽  
Algebraic Constraints ◽  
Necessary And Sufficient ◽  
Time Linear

Positive fractional continuous-time linear systems with singular pencils A method for checking the positivity and finding the solution to the positive fractional descriptor continuous-time linear systems with singular pencils is proposed. The method is based on elementary row and column operations of the fractional descriptor systems to equivalent standard systems with some algebraic constraints on state variables and inputs. Necessary and sufficient conditions for the positivity of the fractional descriptor systems are established.

scholarly journals Two-Machine Job-Shop Scheduling Problem to Minimize the Makespan with Uncertain Job Durations

Algorithms ◽  
2019 ◽  
Vol 13 (1) ◽  
pp. 4 ◽  
Author(s):  
Yuri N. Sotskov ◽  
Natalja M. Matsveichuk ◽  
Vadzim D. Hatsura
Keyword(s):  
Relative Error ◽  
Job Shop ◽  
Sufficient Conditions ◽  
Upper Bounds ◽  
Maximum Relative Error ◽  
Scheduling Problems ◽  
Lower And Upper Bounds ◽  
Shop Scheduling ◽  
Job Duration ◽  
On Line

We study two-machine shop-scheduling problems provided that lower and upper bounds on durations of n jobs are given before scheduling. An exact value of the job duration remains unknown until completing the job. The objective is to minimize the makespan (schedule length). We address the issue of how to best execute a schedule if the job duration may take any real value from the given segment. Scheduling decisions may consist of two phases: an off-line phase and an on-line phase. Using information on the lower and upper bounds for each job duration available at the off-line phase, a scheduler can determine a minimal dominant set of schedules (DS) based on sufficient conditions for schedule domination. The DS optimally covers all possible realizations (scenarios) of the uncertain job durations in the sense that, for each possible scenario, there exists at least one schedule in the DS which is optimal. The DS enables a scheduler to quickly make an on-line scheduling decision whenever additional information on completing jobs is available. A scheduler can choose a schedule which is optimal for the most possible scenarios. We developed algorithms for testing a set of conditions for a schedule dominance. These algorithms are polynomial in the number of jobs. Their time complexity does not exceed O ( n 2 ) . Computational experiments have shown the effectiveness of the developed algorithms. If there were no more than 600 jobs, then all 1000 instances in each tested series were solved in one second at most. An instance with 10,000 jobs was solved in 0.4 s on average. The most instances from nine tested classes were optimally solved. If the maximum relative error of the job duration was not greater than 20 % , then more than 80 % of the tested instances were optimally solved. If the maximum relative error was equal to 50 % , then 45 % of the tested instances from the nine classes were optimally solved.

Impulsive finite-time observer design for uncertain positive linear systems with L2-gain analysis

2020 ◽  
Vol 42 (10) ◽  
pp. 1871-1881 ◽  
Author(s):  
Morteza Motahhari ◽  
Mohammad Hossein Shafiei
Keyword(s):  
Linear Systems ◽  
Finite Time ◽  
Estimation Error ◽  
Sufficient Conditions ◽  
The State ◽  
Observer Design ◽  
Linear Matrix ◽  
Time Interval ◽  
State Variables ◽  
L2 Gain

This paper is concerned with the design of a finite-time positive observer (FTPO) for continuous-time positive linear systems, which is robust regarding the L2-gain performance. In positive observers, the estimation of the state variables is always nonnegative. In contrast to previous positive observers with asymptotic convergence, an FTPO estimates positive state variables in a finite time. The proposed FTPO observer, using two Identity Luenberger observers and based on the impulsive framework, estimates exactly the state variables of positive systems in a predetermined time interval. Furthermore, sufficient conditions are given in terms of linear matrix inequalities (LMIs) to guarantee the L2-gain performance of the estimation error. Finally, the performance and robustness of the proposed FTPO are validated using numerical simulations.

scholarly journals On a Necessary Condition for the Sample Path Continuity of Weakly Stationary Processes

1970 ◽  
Vol 38 ◽  
pp. 103-111 ◽  
Author(s):  
Izumi Kubo
Keyword(s):  
Distribution Function ◽  
Asymptotic Behavior ◽  
Spectral Distribution ◽  
Covariance Function ◽  
Stationary Process ◽  
Sufficient Conditions ◽  
Sample Path ◽  
Necessary Condition ◽  
Stationary Processes ◽  
Spectral Distribution Function

We shall discuss the sample path continuity of a stationary process assuming that the spectral distribution function F(λ) is given. Many kinds of sufficient conditions have been given in terms of the covariance function or the asymptotic behavior of the spectral distribution function.

scholarly journals Zeroing of state variables in fractional descriptor electrical circuits by state-feedbacks

2014 ◽  
Vol 63 (3) ◽  
pp. 321-333
Author(s):  
Tadeusz Kaczorek
Keyword(s):  
Closed Loop ◽  
Sufficient Conditions ◽  
The State ◽  
Necessary And Sufficient Conditions ◽  
State Variables ◽  
Electrical Circuits ◽  
Closed Loop Systems ◽  
Necessary And Sufficient

Abstract The problem of zeroing of the state variables in fractional descriptor electrical circuits by state-feedbacks is formulated and solved. Necessary and sufficient conditions for the existence of gain matrices such that the state variables of closed-loop systems are zero for time greater zero are established. The procedure of choice of the gain matrices is demonstrated on simple descriptor electrical circuits with regular pencils

Optimum replacement of a system subject to shocks

1986 ◽  
Vol 23 (1) ◽  
pp. 107-114 ◽  
Author(s):  
Mohamed Abdel-Hameed
Keyword(s):  
Poisson Process ◽  
Sufficient Conditions ◽  
Sample Path ◽  
Cost Structure ◽  
Homogeneous Poisson Process ◽  
Jump Size ◽  
Shock Process ◽  
Finite Period ◽  
Periodic Replacement ◽  
Non Homogeneous Poisson Process

A system is subject to shocks. Each shock weakens the system and makes it more expensive to run. It is desirable to determine a replacement time for the system. Boland and Proschan [4] consider periodic replacement of the system and give sufficient conditions for the existence of an optimal finite period, assuming that the shock process is a non-homogeneous Poisson process and the cost structure does not depend on time. Block et al. [3] establish similar results assuming that cost structure is time dependent, still requiring that the shock process is a non-homogeneous Poisson process. We show via a sample path argument that the results of [3] and [4] hold for any counting process whose jump size is of one unit magnitude.

Generalized fractional Lévy processes with fractional Brownian motion limit

2015 ◽  
Vol 47 (04) ◽  
pp. 1108-1131 ◽  
Author(s):  
Claudia Klüppelberg ◽  
Muneya Matsui
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Lévy Processes ◽  
Sample Path ◽  
Levy Processes ◽  
Order Structure ◽  
Uhlenbeck Process ◽  
Sample Paths ◽  
Volatility Models ◽  
Ornstein Uhlenbeck Process

Fractional Lévy processes generalize fractional Brownian motion in a natural way. We go a step further and extend the usual fractional Riemann-Liouville kernel to a regularly varying function. We call the resulting stochastic processes generalized fractional Lévy processes (GFLPs) and show that they may have short or long memory increments and that their sample paths may have jumps or not. Moreover, we define stochastic integrals with respect to a GFLP and investigate their second-order structure and sample path properties. A specific example is the Ornstein-Uhlenbeck process driven by a time-scaled GFLP. We prove a functional central limit theorem for such scaled processes with a fractional Ornstein-Uhlenbeck process as a limit process. This approximation applies to a wide class of stochastic volatility models, which include models where possibly neither the data nor the latent volatility process are semimartingales.

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