In this work, we formulate a pricing model for European options with transaction costs under
Heston-type stochastic volatility. The resulting pricing partial differential equations (PDEs) …

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 paper, a PDE (partial differential equation) based approach is presented to price
weather derivatives with the market price of risk extracted from the utility indifference …

Option pricing has become a key problem studied in academia as well as in the finance
industry ever since the publication of the seminal papers by Black and Scholes (1973) and …

In this paper we investigate faster and memory efficient parallel techniques to numerically
solve the Bates model for European options. We have followed method-of-linesapproach …

In this article, we present optimal non-uniform finite difference grids for the Black–Scholes
(BS) equation. The finite difference method is mainly used using a uniform mesh, and it …

The time-dependent multidimensional diffusion equations with mixed derivative terms have
been widely used in mathematics. Due to the mixed derivative terms, it is difficult to solve this …

We construct a two-factor pricing model for contingent convertible bonds having a
conversion to equity loss-absorption mechanism, triggered by the event of the issuer's Tier 1 …

There is consensus in the financial literature that traded asset prices may be subject to rare,
but sudden movements, resulting in asset price discontinuities, known as jumps. It is …