Stock loans are loans collateralized by stocks. They are modern financial products designed
for investors with large equity positions. Mathematically, stock loans can be regarded as …

This paper investigates a numerical method for solving fractional partial integro‐differential
equations (FPIDEs) arising in American Contingent Claims, which follow finite moment log …

In this paper we present both main approaches in the interpretation of the impulses in
generalized proportional Caputo fractional differential equations. We started with both …

We propose two algorithms for investigation the numerical reconstruction of the time-
dependent diffusion coefficient in a space-fractional parabolic problem at integral and point …

The paper is devoted on developing a robust free-boundary based method for
reconstruction time-dependent volatility of American put options. This problem is posed as …

In this paper we consider a model for American call price option with unknown time-
dependent volatility. In order to determine the volatility, we impose an integral …

We present a numerical approach for solving the free boundary problem for the Black-
Scholes equation for pricing American style of floating strike Asian options. A fixed domain …

In this paper we analyze American style of floating strike Asian call options belonging to the
class of financial derivatives whose payoff diagram depends not only on the underlying …

The 7th International Conference on Large-Scale Scientific Computations (LSSC 2009) was
held in Sozopol, Bulgaria, June 4–8, 2009. The conference was organized and sponsored …

A front fixing finite difference method for pricing a corporate bond with credit rating migration
is developed. Two algorithms are proposed: the first one is of a predictor-corrector type while …