Since financial engineering problems are of great importance in the academic community,
effective methods are still needed to analyze these models. Therefore, this article focuses …

In this paper, we consider a class of non-linear option pricing models. The focus is on the
numerical investigation of Delta equation, where the unknown solution is the first spatial …

In this paper, we investigate a nonlinear generalization of the Black–Scholes equation for
pricing American-style call options, where the volatility term may depend on both the …

To solve time-variant nonlinear equation systems (TVNES), a neuronet model called integral-
aided Zhang neuronet (IAZN) model is presented and investigated. For comparison, a …

We consider a class of non-linear models in mathematical finance. The focus is on
numerical study of Delta equation, where the unknown solution is the first spatial derivative …

In this paper we investigate a nonlinear generalization of the Black-Scholes equation for
pricing American style call options in which the volatility term may depend on the underlying …

We construct a first order in time and second order in space, positivity preserving numerical
method for a generalized Hoggard–Whalley–Wilmott, Leland's model. We develop the …

Nonlinear option pricing models have been increasingly concerning in financial industries
since they build more accurate values by regarding more realistic assumptions such as …

In this paper, we propose a numerical method to solve the European and the American
options by using the SPH method. Because its robustness and efficacy, this numerical …

In this thesis we are concerned with the study of American-style options in presence of
variable transactions costs. This leads to consider some generalized Black-Scholes …