scholarly journals The Randomized American Option as a Classical Solution to the Penalized Problem

2015 ◽  
Vol 2015 ◽  
pp. 1-5
Author(s):  
Guillaume Leduc
Keyword(s):  
Cauchy Problem ◽  
Brownian Motion ◽  
Classical Solution ◽  
Penalty Method ◽  
Infinitesimal Generator ◽  
American Option ◽  
Geometric Brownian Motion ◽  
Uniform Bound ◽  
Option Value ◽  
The Cauchy Problem

We connect the exercisability randomized American option to the penalty method by showing that the randomized American option valueuis the uniqueclassicalsolution to the Cauchy problem corresponding to thecanonicalpenalty problem for American options. We also establish a uniform bound forAu, whereAis the infinitesimal generator of a geometric Brownian motion.

scholarly journals Existence and Uniqueness of Solutions for a Type of Generalized Zakharov System

2013 ◽  
Vol 2013 ◽  
pp. 1-7 ◽  
Author(s):  
Rui Li ◽  
Xing Lin ◽  
Zongwei Ma ◽  
Jingjun Zhang
Keyword(s):  
Cauchy Problem ◽  
Global Existence ◽  
Energy Conservation ◽  
Classical Solution ◽  
Sobolev Spaces ◽  
Existence And Uniqueness ◽  
Uniqueness Of Solutions ◽  
Zakharov System ◽  
The Cauchy Problem ◽  
Global Existence And Uniqueness

We study the Cauchy problem for a type of generalized Zakharov system. With the help of energy conservation and approximate argument, we obtain global existence and uniqueness in Sobolev spaces for this system. Particularly, this result implies the existence of classical solution for this generalized Zakharov system.

scholarly journals CLASSICAL SOLUTION OF THE CAUCHY PROBLEM FOR BIWAVE EQUATION: APPLICATION OF FOURIER TRANSFORM

2012 ◽  
Vol 17 (5) ◽  
pp. 630-641 ◽  
Author(s):  
Victor Korzyuk ◽  
Nguyen Van Vinh ◽  
Nguyen Tuan Minh
Keyword(s):  
Cauchy Problem ◽  
Exact Solution ◽  
Fourier Transform ◽  
Fourier Analysis ◽  
Classical Solution ◽  
Half Space ◽  
Analysis Techniques ◽  
The Cauchy Problem

In this paper, we use some Fourier analysis techniques to find an exact solution to the Cauchy problem for the n-dimensional biwave equation in the upper half-space ℝ n × [0, +∞).

THE GLOBAL CLASSICAL SOLUTION OF THE VLASOV–MAXWELL–FOKKER–PLANCK SYSTEM NEAR MAXWELLIAN

2011 ◽  
Vol 21 (05) ◽  
pp. 1007-1025 ◽  
Author(s):  
MYEONGJU CHAE
Keyword(s):  
Cauchy Problem ◽  
Electromagnetic Field ◽  
Classical Solution ◽  
Charged Particles ◽  
Classical Solutions ◽  
Global Classical Solution ◽  
Self Consistent ◽  
The Cauchy Problem ◽  
Fokker Planck

The Vlasov–Maxwell–Fokker–Planck system is used in modeling distribution of charged particles in plasma, where particles interact via collisions and through their self-consistent electromagnetic field. We prove the existence of global in time classical solutions to the Cauchy problem near Maxwellians.

scholarly journals Global classical solutions to the Cauchy problem for a nonlinear wave equation

1998 ◽  
Vol 21 (3) ◽  
pp. 533-548 ◽  
Author(s):  
Haroldo R. Clark
Keyword(s):  
Cauchy Problem ◽  
Wave Equation ◽  
Classical Solution ◽  
Nonlinear Wave ◽  
Nonlinear Wave Equation ◽  
Existence And Uniqueness ◽  
Classical Solutions ◽  
Global Classical Solution ◽  
Global Classical Solutions ◽  
The Cauchy Problem

In this paper we consider the Cauchy problem{u″+M(|A12u|2)Au=0   in   ]0,T[u(0)=u0,       u′(0)=u1,whereu′is the derivative in the sense of distributions and|A12u|is theH-norm ofA12u. We prove the existence and uniqueness of global classical solution.

scholarly journals Modelando Opcões de Conversão com Movimento de Reversão à Média

2007 ◽  
Vol 5 (2) ◽  
pp. 97 ◽  
Author(s):  
Carlos L. Bastian-Pinto ◽  
Luiz E. T. Brandão
Keyword(s):  
Brownian Motion ◽  
Stochastic Model ◽  
Diffusion Process ◽  
Commodity Prices ◽  
Geometric Brownian Motion ◽  
Base Case ◽  
Option Value ◽  
Uncertain Variables ◽  
Mean Reverting Process

Commodity prices are generally better modeled by a long-term Mean Reverting Process, than by a Geometric Brownian Motion stochastic diffusion process, which is more generally used to value real options, since it is simpler to use. In this article we model two correlated uncertain variables using a mean reversing process bivariate lattice to value the switch option between outputs available to ethanol and sugar producers, using the same source: sugarcane. The model results show that the switch option adds a significant value for the producer income. The article also shows that when modeled by a geometric brownian motion, the switch option yields significantly higher values than with a mean reverting model, for the option itself as much as for the base case without flexibility. This confirms that the stochastic model chosen can influence significantly the option value.

Sign in / Sign up

Export Citation Format

Share Document