Numerical analysis of American option pricing in a two-asset jump-diffusion model
H Zhou, DM Dang - arXiv preprint arXiv:2410.04745, 2024 - arxiv.org
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 …
options under correlated two-asset jump-diffusion models using the viscosity solution …
An ETD method for multi‐asset American option pricing under jump‐diffusion model
R Company, VN Egorova… - Mathematical Methods in …, 2023 - Wiley Online Library
In this paper, we propose a numerical method for American multi‐asset options under jump‐
diffusion model based on the combination of the exponential time differencing (ETD) …
diffusion model based on the combination of the exponential time differencing (ETD) …
Optimal integrating techniques for supercontinuum simulations
MSJ AL-Taie - Indian Journal of Physics, 2024 - Springer
Study theoretical solutions of the generalized nonlinear Schrodinger equation, with a
particular emphasis to While modeling supercontinuum creation in optical photonic crystal …
particular emphasis to While modeling supercontinuum creation in optical photonic crystal …
[PDF][PDF] The Pricing Problem of Rainbow Option in Uncertain Financial Market
M Liao, Y Zhu - WSEAS Transactions on Business and Economics, 2022 - wseas.com
In this paper we mainly investigate pricing problems of rainbow option under uncertain
financial market. The price of the underlying asset is assumed to obey an uncertain process …
financial market. The price of the underlying asset is assumed to obey an uncertain process …