This paper focuses on the exponential stabilization of multi-link neutral-type complex
networks with jump diffusion and mixed delays (MNCNJDs) via aperiodically intermittent …

Fixed and moving boundary problems for the one-dimensional heat equation are
considered. A unified approach to solving such problems is proposed by embedding a given …

A barrier option is an exotic path-dependent option contract where the right to buy or sell is
activated or extinguished when the underlying asset reaches a certain barrier price during …

An American option gives the holder the right, but not the obligation, to buy/sell an
underlying asset from/to the writer at an agreed strike price at any time on or before the …

A new framework for pricing European vulnerable options is developed in the case where
the underlying stock price and firm value follow the mixed fractional Brownian motion with …

A new model which we called time driven model for option pricing is proposed. In this model,
the price of underlying asset is driven by different random driving source in different time …

In this paper, the valuation of European options in which the underlying stock pays a
discrete dividend is investigated. A specific value is set in advance, and a dividend is paid …

In the present paper, starting with the Black–Scholes equations, whose solutions are the
values of European options, we describe the exponential jump-diffusion model of Levy …

The implied volatility in the Black-Scholes framework is not a constant but a function of both
the strike price (“smile/skew”) and the time to expiry. A popular approach to recovering the …

We consider a Black-Scholes integro-differential operator associated with a partial integro-
differential equation for pricing European options with a jump-diffusion process for the …