This paper studies the numerical solution of fractional stochastic delay differential equations
driven by Brownian motion. The proposed algorithm is based on linear B-spline …

In this paper, the fully discrete scheme is proposed based on the Simpson's quadrature
formula to approximate fractional-order integrals for noisy signals. This strategy is extended …

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 …

This paper deals with the efficient numerical solution of the two-dimensional partial integro-
differential complementarity problem (PIDCP) that holds for the value of American-style …

This paper deals with the numerical solution of the two-dimensional time-dependent Merton
partial integro-differential equation (PIDE) for the values of rainbow options under the two …

In this paper, we study a posteriori error estimates of the IMEX BDF2 scheme for time
discretizations of solving parabolic partial integro-differential equations, which describe the …

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 …

One of the prominent alternating direction implicit (ADI) schemes for numerically pricing
financial options, the modified Craig–Sneyd scheme, is put to test for its reliability and …

The spot freight rate processes considered in the literature for pricing forward freight
agreements (FFA) and freight options usually have a particular dynamics in order to obtain …