Treating high dimensionality is one of the main challenges in the development of
computational methods for solving problems arising in finance, where tasks such as pricing …

In this article, we price American options under Heston's stochastic volatility model using a
radial basis function (RBF) with partition of unity method (PUM) applied to a linear …

In this paper, we propose a neural network-based method for approximating expected
exposures and potential future exposures of Bermudan options. In a first phase, the method …

Three computational techniques for approximation of counterparty exposure for financial
derivatives are presented. The exposure can be used to quantify so-called Credit Valuation …

In this paper, we present a new splitting scheme for pricing the American options under the
Heston model. For this purpose, first the price of American put option is modeled, which its …

We consider the pricing of American-type basket derivatives by numerically solving a partial
differential equation (PDE). The curse of dimensionality inherent in basket derivative pricing …

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 …

The time integration of differential equations obtained by the space discretization via finite
differences of evolution parabolic PDEs with mixed derivatives in the elliptic operator is …

European options can be priced by solving parabolic partial (-integro) differential equations
under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates …

We introduce a new method to price American options based on Chebyshev interpolation. In
each step of a dynamic programming time-stepping we approximate the value function with …