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Subject: discontinuous coefficients ×

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Now showing 1 - 4 of 4
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    Extreme at-the-money skew in a local volatility model
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2017) Pigato, Paolo
    We consider a local volatility model, with volatility taking two possible values, depending on the value of the underlying with respect to a fixed threshold. When the threshold is taken at-the-money, we establish exact pricing formulas and compute short-time asymptotics of the implied volatility surface. We derive an exact formula for the at-the-money implied volatility skew, which explodes as T-1/2, reproducing the empirical "steep short end of the smile". This behavior does not depend on the precise choice of the parameters, but simply follows from the "regime-switch" of the local volatility at-the-money.
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    Optimal Sobolev regularity for linear second-order divergence elliptic operators occurring in real-world problems
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2014) Disser, Karoline; Kaiser, Hans-Christoph; Rehberg, Joachim
    On bounded three-dimensional domains, we consider divergence-type operators including mixed homogeneous Dirichlet and Neumann boundary conditions and discontinuous coefficient functions. We develop a geometric framework in which it is possible to prove that the operator provides an isomorphism of suitable function spaces. In particular, in these spaces, the gradient of solutions turns out to be integrable with exponent larger than the space dimension three. Relevant examples from real-world applications are provided in great detail.
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    Optimal regularity for elliptic transmission problems including C1 interfaces
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2006) Elschner, Johannes; Rehberg, Joachim; Schmidt, Gunther
    We prove an optimal regularity result for elliptic operators $-nabla cdot mu nabla:W^1,q_0 rightarrow W^-1,q$ for a $q>3$ in the case when the coefficient function $mu$ has a jump across a $C^1$ interface and is continuous elsewhere. A counterexample shows that the $C^1$ condition cannot be relaxed in general. Finally, we draw some conclusions for corresponding parabolic operators.
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    Quasilinear parabolic systems with mixed boundary conditions
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2006) Hieber, Matthias; Rehberg, Joachim
    In this paper we investigate quasilinear systems of reaction-diffusion equations with mixed Dirichlet-Neumann bondary conditions on non smooth domains. Using techniques from maximal regularity and heat-kernel estimates we prove existence of a unique solution to systems of this type.