Partial integro-differential equation (PIDE) formulations are often preferable for pricing
options under models with stochastic volatility and jumps, especially for American-style …

We develop a highly accurate numerical method for pricing discrete double barrier options
under the Black–Scholes (BS) model. To this aim, the BS partial differential equation is …

In this paper, we prove the existence of an integral closed-form solution for pricing barrier
options in both Heston and Bates frameworks. The option value depends on time, on the …

In this paper, we consider numerical pricing of European and American options under the
Bates model, a model which gives rise to a partial-integro differential equation. This …

In this paper, we study the existence, uniqueness, and stability of solutions to the pricing
problem of European continuous-installment options under the regime-switching model …

This paper studies the numerical solution of the stochastic volatility model with jumps under
European options. This model can be transformed into a partial integro‐differential equation …

Quantum ChromoDynamics (QCD) is well-established as the gauge theory of strong
interactions. However, several of its fundamental aspects are not well-understood at present …

Stochastic volatility models with jumps generalize the classical Black–Scholes framework to
capture more properly the real world features of option contracts. The extension is performed …

ISSN 1456-5390; 180) ISBN 978-951-39-5513-7 (nid.) ISBN 978-951-39-5514-4 (PDF)
Finnish summary Diss. This dissertation deals with the numerical solution of partial integro …

There are different risk management approaches available, as different firms have different
risk goals. Value at risk (VaR) is the most frequently used risk measure for asset or portfolio …