The high-frequency trading (HFT) uses the discrete and finite precision Gaussian cumulative
distribution table, which leads to the erroneous computation of modern option pricing …

Semi-analytical pricing of American options in a time-dependent Ornstein-Uhlenbeck model
was presented in [Carr, Itkin, 2020]. It was shown that to obtain these prices one needs to …

We present a sparse spectral method for nonlinear integro-differential Volterra equations
based on the Volterra operator's banded sparsity structure when acting on specific Jacobi …

This paper deals with a new numerical method for the approximation of the early exercise
boundary in the American option pricing problem. In more detail, using the mean-value …

This paper considers an logistics service supply chain consisting of a logistics service
integrator (LSI) and a number of functional logistics service providers (FLSPs). In the …

The integral representation of the optimal exercise boundary problem for generating the
continuous-time early exercise boundary for the American put option is a well-known topic in …

This work aims to extend the comprehension of the out-of-equilibrium transport in
Josephson junctions by both analytical and numerical methods. More specifically, it focuses …