On some generalized American style derivatives
TS Zaevski - Computational and Applied Mathematics, 2024 - Springer
The aim of this paper is to examine some American style financial instruments with
generalized payment structures, in particular for the power functions. We first prove several …
generalized payment structures, in particular for the power functions. We first prove several …
Generalized finite integration method with Volterra Operator for pricing multi-asset barrier option
Y Ma, CN Sam, JMH Hon - Engineering Analysis with Boundary Elements, 2023 - Elsevier
We investigate in this paper the pricing of European-style barrier options under the Black–
Scholes model. Based on the recently developed Generalized Finite Integration Method with …
Scholes model. Based on the recently developed Generalized Finite Integration Method with …
Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
S Abdi-Mazraeh, S Irandoust-Pakchin… - Applicable …, 2023 - Taylor & Francis
In this paper, the Black–Scholes (BS) equation to price American options is studied which is
governed by a partial differential problem. A nonlinear partial differential equation (PDE) is …
governed by a partial differential problem. A nonlinear partial differential equation (PDE) is …