A new operator splitting method is proposed for American options under time-fractional
Black–Scholes models. The fractional linear complementarity problem is split into two easy …

In this article, we consider modeling and pricing a combination of two options (Exchange
option and Lookback option) that we call the LOEX option. It is a type of exotic option, or …

The intensity, hardness, and extent of catastrophic accidents in recent decades have led
insurance companies to seek resources to raise the capital to deal with the caused damage …

The fractional Black–Scholes model has had limited applications in financial markets.
Instead, the time‐fractional Black–Scholes equation has attracted much research interest …

The operator splitting method has shown to be an effective approach for solving the linear
complementarity problem for pricing American options. It has been successfully applied to …

This study focuses on the valuation of geometric Asian power options and presents an
efficient numerical algorithm for solving the option price PDE. The analytical methodology …

This paper deals with pricing of European and American options, when the underlying asset
price follows Heston model, via the interior penalty discontinuous Galerkin finite element …

As the main contribution of this article, we establish an option on a credit spread under a
stochastic interest rate. The intense volatilities in financial markets cause interest rates to …

We present an ensemble deep learning method for solving free boundary American-style
stochastic volatility models. Our solution framework for such free boundary problems …

In the present investigation, new explicit approaches by the Milstein method and increment
function of the Jacobian derivative of the drift coefficient are designed. Several numerical …