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Found 146 Documents (Results 1–100)

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A simple Wiener-Hopf factorization approach for pricing double-barrier options. (English) Zbl 1479.91405

Karapetyants, Alexey N. (ed.) et al., Operator theory and harmonic analysis. OTHA 2020, Part II – probability-analytical models, methods and applications. Based on the international conference on modern methods, problems and applications of operator theory and harmonic analysis. Cham: Springer. Springer Proc. Math. Stat. 358, 273-291 (2021).
MSC:  91G20 60G51 44A10
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A 2nd-order FDM for a 2D fractional Black-Scholes equation. (English) Zbl 1367.91191

Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 46-57 (2017).
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Necessary optimality conditions for the control of partial integro-differential equations. (English) Zbl 1336.49029

Al-Baali, Mehiddin (ed.) et al., Numerical analysis and optimization. Selected papers based on the presentations at the 3rd international conference, NAO-III, Muscat, Oman, January 5–9, 2014. Cham: Springer (ISBN 978-3-319-17688-8/hbk; 978-3-319-17689-5/ebook). Springer Proceedings in Mathematics & Statistics 134, 77-94 (2015).
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