In this paper we develop a Laplace transform method and a finite difference method for solving American option pricing problem when the change of the option price with time is considered as a fractal transmission system. In this scenario, the option price is governed by a time-fractional partial differential equation (PDE) with free boundary. The Laplace transform method is applied to the time-fractional PDE. It then leads to a nonlinear equation for the free boundary (i.e., optimal early exercise boundary) function in Laplace space. After numerically finding the solution of the nonlinear equation, the Laplace inversion is used to transform the approximate early exercise boundary into the time space. Finally the approximate price of the American option is obtained. A boundary-searching finite difference method is also proposed to solve the free-boundary time-fractional PDEs for pricing the American options. Numerical examples are carried out to compare the Laplace approach with the finite difference method and it is confirmed that the former approach is much faster than the latter one.

Abstract. The main objective of this paper is a study of some new generalizations of Hilbert's type inequalities. More precisely, we obtain, in some general cases, that the constants involved in the right-hand sides of such inequalities are the best possible. (2000): 26D15. Mathematics subject classification

We study the pricing of the American options with fractal transmission system under two-state regime switching models. This pricing problem can be formulated as a free boundary problem of time-fractional partial differential equation (FPDE) system. Firstly, applying Laplace transform to the governing FPDEs with respect to the time variable results in second-order ordinary differential equations (ODEs) with two free boundaries. Then, the solutions of ODEs are expressed in an explicit form. Consequently the early exercise boundaries and the values for the American option are recovered using the Gaver-Stehfest formula. Numerical comparisons of the methods with the finite difference methods are carried out to verify the efficiency of the methods.

In this paper, we price the valuation of double barrier Parisian options, under the Black-Scholes framework. The approach is based on fundamental partial differential equations. We reduce the dimension of partial differential equations， then using finite difference scheme to solve the partial differential equations.

It is shown that a weighted Hilbert inequality for double series can be established by introducing a proper weight function. Thus, a quite sharp result of the classical Hilbert inequality for double series is obtained. And a similar result for the Hilbert integral inequality is also proved. Some applications are considered.