This paper presents analytical solutions of a time-space-fractional Black-Scholes model
(TSFBSM) using a coupled technique referred to as Fractional Complex Transform (FCT) …

In this manuscript, we presented some efficient and accurate radial basis function-based
finite difference (RBF-FD) implicit–explicit (IMEX) numerical techniques for pricing the option …

This paper presents novel implicit–explicit Runge–Kutta type methods for numerically
simulating partial integro-differential equations that arise when pricing options under jump …

We develop an implicit–explicit midpoint formula with variable spatial step-sizes and
variable time step to solve parabolic partial integro-differential equations with nonsmooth …

The purpose of this paper is to present an efficient method for pricing discounted American
capped options. They differ from the corresponding uncapped ones by the existing trigger …

In this work we rigorously establish mathematical models to obtain the capital valuation
adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use …

This paper is concerned with fast, parallel and numerically accurate pricing of two-asset
American options under the Merton jump-diffusion model, which gives rise to a two …

In this manuscript, we proposed the stability and error analysis for the backward difference
operator splitting (BDF-OS) methods to solve the linear complementarity problem (LCP) for …

The operator splitting method has been effectively applied to jump-diffusion models, and it is
also easy to implement because the differential and complementarity restrictions are …

This paper addresses a significant gap in rigorous numerical treatments for pricing American
options under correlated two-asset jump-diffusion models using the viscosity solution …