Mao, Mengli; Tian, Hongjiong; Wang, Wansheng A variable step-size extrapolated Crank-Nicolson method for option pricing under stochastic volatility model with jump. (English) Zbl 07823719 Math. Methods Appl. Sci. 47, No. 2, 762-781 (2024). MSC: 65J10 65M06 65M15 65L06 91G60 PDFBibTeX XMLCite \textit{M. Mao} et al., Math. Methods Appl. Sci. 47, No. 2, 762--781 (2024; Zbl 07823719) Full Text: DOI
Chen, Yong Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing. (English) Zbl 07806993 Numer. Algorithms 95, No. 3, 1055-1077 (2024). MSC: 65C20 65C40 65M06 91G20 91G60 PDFBibTeX XMLCite \textit{Y. Chen}, Numer. Algorithms 95, No. 3, 1055--1077 (2024; Zbl 07806993) Full Text: DOI
Yang, Liu; Fan, Meng; Wang, Youming; Sun, Xiangdong; Zhu, Huaiping Effect of avian influenza scare on transmission of zoonotic avian influenza: a case study of influenza A (H7N9). (English) Zbl 07805078 Math. Biosci. 367, Article ID 109125, 17 p. (2024). MSC: 92D30 91A80 PDFBibTeX XMLCite \textit{L. Yang} et al., Math. Biosci. 367, Article ID 109125, 17 p. (2024; Zbl 07805078) Full Text: DOI
Semenov, A. L.; Shen, A. Kh.; Vereshchagin, N. K. Kolmogorov’s last discovery? (Kolmogorov and algorithmic statistics). (English. Russian original) Zbl 07804768 Theory Probab. Appl. 68, No. 4, 582-606 (2024); translation from Teor. Veroyatn. Primen. 68, No. 4, 719-750 (2023). MSC: 68-XX 91-XX PDFBibTeX XMLCite \textit{A. L. Semenov} et al., Theory Probab. Appl. 68, No. 4, 582--606 (2024; Zbl 07804768); translation from Teor. Veroyatn. Primen. 68, No. 4, 719--750 (2023) Full Text: DOI
Arregui, Íñigo; Simonella, Roberta; Vázquez, Carlos Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework. (English) Zbl 07793542 Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107725, 34 p. (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M60 65C05 91G20 PDFBibTeX XMLCite \textit{Í. Arregui} et al., Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107725, 34 p. (2024; Zbl 07793542) Full Text: DOI
He, Taoshun; Chen, Yong Pricing European options under stochastic looping contagion risk model. (English) Zbl 07791043 Japan J. Ind. Appl. Math. 41, No. 1, 585-608 (2024). Reviewer: Rodica Luca (Iaşi) MSC: 35Q91 35R35 91G20 91G60 91G80 65C05 65M06 65N06 65M12 35R60 PDFBibTeX XMLCite \textit{T. He} and \textit{Y. Chen}, Japan J. Ind. Appl. Math. 41, No. 1, 585--608 (2024; Zbl 07791043) Full Text: DOI
An, Xingyu; Wang, Qingxia (Jenny); Liu, Fawang; Anh, Vo V.; Turner, Ian W. Parameter estimation for time-fractional Black-Scholes equation with S&P 500 index option. (English) Zbl 07785640 Numer. Algorithms 95, No. 1, 1-30 (2024). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{X. An} et al., Numer. Algorithms 95, No. 1, 1--30 (2024; Zbl 07785640) Full Text: DOI OA License
Putri, Endah R. M.; Shahab, Muhammad L.; Iqbal, Mohammad; Mukhlash, Imam; Hakam, Amirul; Mardianto, Lutfi; Susanto, Hadi A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations. (English) Zbl 07784353 Comput. Math. Appl. 154, 120-127 (2024). MSC: 91G60 65M75 68W50 68T07 91G20 PDFBibTeX XMLCite \textit{E. R. M. Putri} et al., Comput. Math. Appl. 154, 120--127 (2024; Zbl 07784353) Full Text: DOI arXiv
Shi, Lei; Ullah, Malik Zaka; Nashine, Hemant Kumar On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE. (English) Zbl 07764807 Appl. Math. Comput. 463, Article ID 128380, 12 p. (2024). MSC: 65N40 41A25 91G60 PDFBibTeX XMLCite \textit{L. Shi} et al., Appl. Math. Comput. 463, Article ID 128380, 12 p. (2024; Zbl 07764807) Full Text: DOI
Mehrdoust, Farshid; Noorani, Idin; Kanniainen, Juho Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market. (English) Zbl 07764066 Math. Comput. Simul. 215, 228-269 (2024). MSC: 91-XX 90-XX PDFBibTeX XMLCite \textit{F. Mehrdoust} et al., Math. Comput. Simul. 215, 228--269 (2024; Zbl 07764066) Full Text: DOI
Huang, Cunxin; Song, Haiming; Yang, Jinda; Zhou, Bocheng Error analysis of finite difference scheme for American option pricing under regime-switching with jumps. (English) Zbl 1528.91078 J. Comput. Appl. Math. 437, Article ID 115484, 20 p. (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{C. Huang} et al., J. Comput. Appl. Math. 437, Article ID 115484, 20 p. (2024; Zbl 1528.91078) Full Text: DOI
Song, Yanlai An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options. (English) Zbl 1522.91313 J. Comput. Appl. Math. 436, Article ID 115382, 13 p. (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 65M22 91G20 PDFBibTeX XMLCite \textit{Y. Song}, J. Comput. Appl. Math. 436, Article ID 115382, 13 p. (2024; Zbl 1522.91313) Full Text: DOI
Luo, Sheng-Feng; Wong, Hsin-Chieh Continuity correction: on the pricing of discrete double barrier options. (English) Zbl 07820574 Rev. Deriv. Res. 26, No. 1, 51-90 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{S.-F. Luo} and \textit{H.-C. Wong}, Rev. Deriv. Res. 26, No. 1, 51--90 (2023; Zbl 07820574) Full Text: DOI
Wang, Ming-Kai; Wang, Cheng; Yin, Jun-Feng A second-order ADI method for pricing options under fractional regime-switching models. (English) Zbl 07818894 Netw. Heterog. Media 18, No. 2, 647-663 (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 26A33 91G20 PDFBibTeX XMLCite \textit{M.-K. Wang} et al., Netw. Heterog. Media 18, No. 2, 647--663 (2023; Zbl 07818894) Full Text: DOI
Fan, Congyin; Chen, Wenting; Feng, Bing Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps. (English) Zbl 07798630 Netw. Heterog. Media 18, No. 1, 191-211 (2023). MSC: 91G20 35Q91 35R09 35R35 35R11 65T50 91G60 PDFBibTeX XMLCite \textit{C. Fan} et al., Netw. Heterog. Media 18, No. 1, 191--211 (2023; Zbl 07798630) Full Text: DOI
Yousuf, M.; Khaliq, A. Q. M. Pricing American option using a modified fractional Black-Scholes model under multi-state regime switching. (English) Zbl 07793177 Int. J. Theor. Appl. Finance 26, No. 4-5, Article ID 2350019, 21 p. (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 35R11 91G20 60G40 PDFBibTeX XMLCite \textit{M. Yousuf} and \textit{A. Q. M. Khaliq}, Int. J. Theor. Appl. Finance 26, No. 4--5, Article ID 2350019, 21 p. (2023; Zbl 07793177) Full Text: DOI
Wen, Xin; Song, Haiming; Zhang, Rui; Li, Yutian Primal-dual active-set method for the valuation of American exchange options. (English) Zbl 07779869 East Asian J. Appl. Math. 13, No. 4, 858-885 (2023). MSC: 65M60 65M06 65N30 65M12 35A35 35B45 65K10 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{X. Wen} et al., East Asian J. Appl. Math. 13, No. 4, 858--885 (2023; Zbl 07779869) Full Text: DOI
Misra, Arvind Kumar; Kumari, Mamta Modeling the effects of TV and social media advertisements on diabetes. (English) Zbl 07779471 J. Biol. Syst. 31, No. 3, 1099-1124 (2023). MSC: 92C50 91D99 34C60 PDFBibTeX XMLCite \textit{A. K. Misra} and \textit{M. Kumari}, J. Biol. Syst. 31, No. 3, 1099--1124 (2023; Zbl 07779471) Full Text: DOI
Balcı, Mehmet Ali Distributed order model of labor migration. (English) Zbl 07773913 Int. J. Nonlinear Sci. Numer. Simul. 24, No. 7, 2497-2512 (2023). MSC: 91-XX 92-XX PDFBibTeX XMLCite \textit{M. A. Balcı}, Int. J. Nonlinear Sci. Numer. Simul. 24, No. 7, 2497--2512 (2023; Zbl 07773913) Full Text: DOI
Yekta, Hoda Atef; Bergman, David; Day, Robert Balancing stability and efficiency in team formation as a generalized roommate problem. (English) Zbl 1525.90236 Nav. Res. Logist. 70, No. 1, 72-88 (2023). MSC: 90B50 90C29 91A80 90C57 91B15 90C10 PDFBibTeX XMLCite \textit{H. A. Yekta} et al., Nav. Res. Logist. 70, No. 1, 72--88 (2023; Zbl 1525.90236) Full Text: DOI arXiv OA License
Berner, Rico; Gross, Thilo; Kuehn, Christian; Kurths, Jürgen; Yanchuk, Serhiy Adaptive dynamical networks. (English) Zbl 07740142 Phys. Rep. 1031, 1-59 (2023). MSC: 81P68 68M10 68T05 62M45 91D30 PDFBibTeX XMLCite \textit{R. Berner} et al., Phys. Rep. 1031, 1--59 (2023; Zbl 07740142) Full Text: DOI arXiv
Schäfers, Torben; Teng, Long Asymmetry in stochastic volatility models with threshold and time-dependent correlation. (English) Zbl 07734249 Stud. Nonlinear Dyn. Econom. 27, No. 2, 131-146 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{T. Schäfers} and \textit{L. Teng}, Stud. Nonlinear Dyn. Econom. 27, No. 2, 131--146 (2023; Zbl 07734249) Full Text: DOI
Caruso, Francesco; Ceparano, Maria Carmela; Morgan, Jacqueline Affine relaxations of the best response algorithm: global convergence in ratio-bounded games. (English) Zbl 07725765 SIAM J. Optim. 33, No. 3, 1914-1942 (2023). MSC: 47N10 91A10 91A68 PDFBibTeX XMLCite \textit{F. Caruso} et al., SIAM J. Optim. 33, No. 3, 1914--1942 (2023; Zbl 07725765) Full Text: DOI
Liang, Jin; Lin, Yang A bond pricing model with credit migration risk: different upgrade and downgrade thresholds. (English) Zbl 1515.35278 Acta Math. Appl. Sin., Engl. Ser. 39, No. 3, 765-777 (2023). MSC: 35Q91 35K40 91G40 PDFBibTeX XMLCite \textit{J. Liang} and \textit{Y. Lin}, Acta Math. Appl. Sin., Engl. Ser. 39, No. 3, 765--777 (2023; Zbl 1515.35278) Full Text: DOI
Gan, Xiaoting; Yin, Junfeng; Li, Rui On the convergence of a Crank-Nicolson fitted finite volume method for pricing european options under regime-switching Kou’s jump-diffusion models. (English) Zbl 1524.65455 Adv. Appl. Math. Mech. 15, No. 5, 1290-1314 (2023). MSC: 65M08 65M12 91G60 35R09 91G20 35Q91 65N06 65N08 65M06 PDFBibTeX XMLCite \textit{X. Gan} et al., Adv. Appl. Math. Mech. 15, No. 5, 1290--1314 (2023; Zbl 1524.65455) Full Text: DOI
Chen, Yong; Hu, Ruizi \(L^\infty\)-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing. (English) Zbl 07705626 Int. J. Comput. Math. 100, No. 6, 1373-1394 (2023). MSC: 65R20 45K05 91G60 91G20 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{R. Hu}, Int. J. Comput. Math. 100, No. 6, 1373--1394 (2023; Zbl 07705626) Full Text: DOI
Song, Yanlai; Ullah, Malik Zaka On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs. (English) Zbl 07703986 Comput. Math. Appl. 143, 224-233 (2023). MSC: 91G60 65M50 91G20 PDFBibTeX XMLCite \textit{Y. Song} and \textit{M. Z. Ullah}, Comput. Math. Appl. 143, 224--233 (2023; Zbl 07703986) Full Text: DOI
Rasanan, Amir Hosein Hadian; Evans, Nathan J.; Rieskamp, Jörg; Rad, Jamal Amani Numerical approximation of the first-passage time distribution of time-varying diffusion decision models: a mesh-free approach. (English) Zbl 1521.91304 Eng. Anal. Bound. Elem. 151, 227-243 (2023). MSC: 91E10 35Q84 35R37 65D12 91B06 PDFBibTeX XMLCite \textit{A. H. H. Rasanan} et al., Eng. Anal. Bound. Elem. 151, 227--243 (2023; Zbl 1521.91304) Full Text: DOI
Martire, Antonio L.; Russo, Emilio; Staino, Alessandro Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods. (English) Zbl 1519.91217 Decis. Econ. Finance 46, No. 1, 177-220 (2023). MSC: 91G05 45D05 65C05 PDFBibTeX XMLCite \textit{A. L. Martire} et al., Decis. Econ. Finance 46, No. 1, 177--220 (2023; Zbl 1519.91217) Full Text: DOI
Boccaletti, S.; De Lellis, P.; del Genio, C. I.; Alfaro-Bittner, K.; Criado, R.; Jalan, S.; Romance, M. The structure and dynamics of networks with higher order interactions. (English) Zbl 1523.81029 Phys. Rep. 1018, 1-64 (2023). MSC: 81P45 68M12 81V05 05E45 82C32 91D30 68N30 05C15 81-02 00A06 PDFBibTeX XMLCite \textit{S. Boccaletti} et al., Phys. Rep. 1018, 1--64 (2023; Zbl 1523.81029) Full Text: DOI
Abbaszadeh, Mostafa; Kalhor, Yasmin; Dehghan, Mehdi; Donatelli, Marco A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models. (English) Zbl 1521.91384 Eng. Anal. Bound. Elem. 150, 154-166 (2023). MSC: 91G60 65M75 65D07 91G20 PDFBibTeX XMLCite \textit{M. Abbaszadeh} et al., Eng. Anal. Bound. Elem. 150, 154--166 (2023; Zbl 1521.91384) Full Text: DOI
Narsoo, Jason; Thakoor, Nawdha; Tangman, Yannick Désiré; Bhuruth, Muddun High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility. (English) Zbl 1521.91388 Eng. Anal. Bound. Elem. 146, 869-879 (2023). MSC: 91G60 65M75 65D12 91G20 PDFBibTeX XMLCite \textit{J. Narsoo} et al., Eng. Anal. Bound. Elem. 146, 869--879 (2023; Zbl 1521.91388) Full Text: DOI
Sam, C. N.; Zhang, K. X.; Hon, Jeffrey M. H. Generalized finite integration method with space-time decomposition technique for solving high dimensional option pricing models. (English) Zbl 1521.91389 Eng. Anal. Bound. Elem. 146, 706-714 (2023). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{C. N. Sam} et al., Eng. Anal. Bound. Elem. 146, 706--714 (2023; Zbl 1521.91389) Full Text: DOI
Aldila, Dipo Optimal control for dengue eradication program under the media awareness effect. (English) Zbl 07677973 Int. J. Nonlinear Sci. Numer. Simul. 24, No. 1, 95-122 (2023). MSC: 92-XX 91-XX PDFBibTeX XMLCite \textit{D. Aldila}, Int. J. Nonlinear Sci. Numer. Simul. 24, No. 1, 95--122 (2023; Zbl 07677973) Full Text: DOI
Cho, Junhyun; Yang, Donghee; Kim, Yejin; Lee, Sungchul An operator splitting method for multi-asset options with the Feynman-Kac formula. (English) Zbl 07667337 Comput. Math. Appl. 135, 93-101 (2023). MSC: 91G60 65M06 65M70 91G20 35R11 PDFBibTeX XMLCite \textit{J. Cho} et al., Comput. Math. Appl. 135, 93--101 (2023; Zbl 07667337) Full Text: DOI
Ota, Yasushi; Jiang, Yu; Maki, Daiki Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach. (English) Zbl 07663298 Results Appl. Math. 17, Article ID 100353, 14 p. (2023). MSC: 65Cxx 91Gxx 35Rxx PDFBibTeX XMLCite \textit{Y. Ota} et al., Results Appl. Math. 17, Article ID 100353, 14 p. (2023; Zbl 07663298) Full Text: DOI arXiv
Demir, İbrahim Novel correlation coefficients for interval-valued Fermatean hesitant fuzzy sets with pattern recognition application. (English) Zbl 1508.03086 Turk. J. Math. 47, No. 1, 213-233 (2023). MSC: 03E72 68T37 68T10 91B06 91B86 PDFBibTeX XMLCite \textit{İ. Demir}, Turk. J. Math. 47, No. 1, 213--233 (2023; Zbl 1508.03086) Full Text: DOI
Dang Van Hieu; Pham Kim Quy One-step iterative method for bilevel equilibrium problem in Hilbert space. (English) Zbl 1515.47089 J. Glob. Optim. 85, No. 2, 487-510 (2023). MSC: 47J25 47H05 49J27 49J40 65K15 91A65 PDFBibTeX XMLCite \textit{Dang Van Hieu} and \textit{Pham Kim Quy}, J. Glob. Optim. 85, No. 2, 487--510 (2023; Zbl 1515.47089) Full Text: DOI
He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, Kazutoshi The Gerber-Shiu discounted penalty function: a review from practical perspectives. (English) Zbl 1508.91474 Insur. Math. Econ. 109, 1-28 (2023). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{Y. He} et al., Insur. Math. Econ. 109, 1--28 (2023; Zbl 1508.91474) Full Text: DOI arXiv
Ren, Weijia; Du, Yuhong; Sun, Ronglu; Du, Yuqin Development of complex cubic \(q\)-rung orthopair fuzzy aggregation operators and their application in group decision-making. (English) Zbl 1505.91154 J. Math. Anal. Appl. 519, No. 2, Article ID 126848, 30 p. (2023). MSC: 91B06 91B86 PDFBibTeX XMLCite \textit{W. Ren} et al., J. Math. Anal. Appl. 519, No. 2, Article ID 126848, 30 p. (2023; Zbl 1505.91154) Full Text: DOI
Mehrdoust, Farshid; Noorani, Idin; Hamdi, Abdelouahed Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm. (English) Zbl 07619079 Math. Comput. Simul. 204, 660-678 (2023). MSC: 91-XX 90-XX PDFBibTeX XMLCite \textit{F. Mehrdoust} et al., Math. Comput. Simul. 204, 660--678 (2023; Zbl 07619079) Full Text: DOI
Kazmi, Kamran A second order numerical method for the time-fractional Black-Scholes European option pricing model. (English) Zbl 1502.91058 J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023). MSC: 91G60 65N06 65D25 65D30 65B05 35R09 35R11 35Q91 45K05 65R20 65M12 91G20 PDFBibTeX XMLCite \textit{K. Kazmi}, J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023; Zbl 1502.91058) Full Text: DOI
Gulen, Seda; Sari, Murat A Fréchet derivative-based novel approach to option pricing models in illiquid markets. (English) Zbl 07787270 Math. Methods Appl. Sci. 45, No. 2, 899-913 (2022). MSC: 91G60 65M06 65F10 91G20 PDFBibTeX XMLCite \textit{S. Gulen} and \textit{M. Sari}, Math. Methods Appl. Sci. 45, No. 2, 899--913 (2022; Zbl 07787270) Full Text: DOI
Company, Rafael; Egorova, Vera N.; Jódar, Lucas; Peris, Jorge A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model. (English) Zbl 07780505 Math. Methods Appl. Sci. 45, No. 6, 3334-3344 (2022). MSC: 91G60 91G20 60G40 65M06 65M12 PDFBibTeX XMLCite \textit{R. Company} et al., Math. Methods Appl. Sci. 45, No. 6, 3334--3344 (2022; Zbl 07780505) Full Text: DOI OA License
Kumar, Devendra; Deswal, Komal Two-dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option. (English) Zbl 07778292 Numer. Methods Partial Differ. Equations 38, No. 5, 1195-1214 (2022). MSC: 35Q91 91G20 91G60 65F60 PDFBibTeX XMLCite \textit{D. Kumar} and \textit{K. Deswal}, Numer. Methods Partial Differ. Equations 38, No. 5, 1195--1214 (2022; Zbl 07778292) Full Text: DOI
Guo, Ivan; Loeper, Grégoire; Wang, Shiyi Calibration of local-stochastic volatility models by optimal transport. (English) Zbl 1522.91274 Math. Finance 32, No. 1, 46-77 (2022). MSC: 91G20 60G46 35Q91 49L25 PDFBibTeX XMLCite \textit{I. Guo} et al., Math. Finance 32, No. 1, 46--77 (2022; Zbl 1522.91274) Full Text: DOI arXiv
Mesgarani, Hamid; Ahanj, Sara; Esmaeelzade, Aghdam Yones A novel local meshless scheme based on the radial basis function for pricing multi-asset options. (English) Zbl 1524.91146 Comput. Methods Differ. Equ. 10, No. 3, 716-725 (2022). MSC: 91G60 65D12 65M06 91G20 35Q91 PDFBibTeX XMLCite \textit{H. Mesgarani} et al., Comput. Methods Differ. Equ. 10, No. 3, 716--725 (2022; Zbl 1524.91146) Full Text: DOI
Jaroszkowski, Bartosz; Jensen, Max Valuation of European options under an uncertain market price of volatility risk. (English) Zbl 1508.91616 Appl. Math. Finance 29, No. 3, 213-226 (2022). MSC: 91G60 65M60 91G20 PDFBibTeX XMLCite \textit{B. Jaroszkowski} and \textit{M. Jensen}, Appl. Math. Finance 29, No. 3, 213--226 (2022; Zbl 1508.91616) Full Text: DOI arXiv
Donfack, Hermann Azemtsa; Soh, Celestin Wafo; Kotze, Antonie Volatility smile interpolation with radial basis functions. (English) Zbl 1508.91615 Int. J. Theor. Appl. Finance 25, No. 7-8, Article ID 2250030, 23 p. (2022). MSC: 91G60 65D12 91G20 PDFBibTeX XMLCite \textit{H. A. Donfack} et al., Int. J. Theor. Appl. Finance 25, No. 7--8, Article ID 2250030, 23 p. (2022; Zbl 1508.91615) Full Text: DOI
Nicolosi, Gabriel; Friesz, Terry; Griffin, Christopher Approximation of optimal control surfaces for \(2\times 2\) skew-symmetric evolutionary game dynamics. (English) Zbl 1507.91023 Chaos Solitons Fractals 163, Article ID 112535, 7 p. (2022). MSC: 91A22 91A16 PDFBibTeX XMLCite \textit{G. Nicolosi} et al., Chaos Solitons Fractals 163, Article ID 112535, 7 p. (2022; Zbl 1507.91023) Full Text: DOI arXiv
Soleymani, Fazlollah An efficient numerical scheme for the solution of a stochastic volatility model including contemporaneous jumps in finance. (English) Zbl 07633873 Int. J. Comput. Methods 19, No. 7, Article ID 2141021, 27 p. (2022). MSC: 65-XX 91-XX PDFBibTeX XMLCite \textit{F. Soleymani}, Int. J. Comput. Methods 19, No. 7, Article ID 2141021, 27 p. (2022; Zbl 07633873) Full Text: DOI
Wang, Wansheng; Mao, Mengli; Huang, Yi A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models. (English) Zbl 1503.65187 J. Sci. Comput. 93, No. 2, Paper No. 55, 29 p. (2022). MSC: 65M06 65M15 65M50 65L70 65L06 35R09 91G20 91G60 35Q91 35R60 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Sci. Comput. 93, No. 2, Paper No. 55, 29 p. (2022; Zbl 1503.65187) Full Text: DOI
Akanni, John O. Mathematical assessment of the role of illicit drug use on terrorism spread dynamics. (English) Zbl 1505.91309 J. Appl. Math. Comput. 68, No. 6, 3873-3900 (2022). MSC: 91D99 92D30 34D23 PDFBibTeX XMLCite \textit{J. O. Akanni}, J. Appl. Math. Comput. 68, No. 6, 3873--3900 (2022; Zbl 1505.91309) Full Text: DOI
Dehghan Banadaki, M.; Navidi, H. A numerical treatment based on Bernoulli tau method for computing the open-loop Nash equilibrium in nonlinear differential games. (English) Zbl 1506.65168 Iran. J. Numer. Anal. Optim. 12, No. 2, 467-482 (2022). MSC: 65M70 65M12 65M15 65H10 91A23 35B50 35C20 35A01 11B68 49N70 35Q91 PDFBibTeX XMLCite \textit{M. Dehghan Banadaki} and \textit{H. Navidi}, Iran. J. Numer. Anal. Optim. 12, No. 2, 467--482 (2022; Zbl 1506.65168) Full Text: DOI
Wu, Huojun; Jia, Zhaoli; Yang, Shuquan; Liu, Ce Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate. (English) Zbl 1505.91393 Probab. Eng. Inf. Sci. 36, No. 2, 564-580 (2022). MSC: 91G20 91G30 91B70 42A38 PDFBibTeX XMLCite \textit{H. Wu} et al., Probab. Eng. Inf. Sci. 36, No. 2, 564--580 (2022; Zbl 1505.91393) Full Text: DOI
Wang, Weiwei; Hu, Xiaoping Pricing American options by a Fourier transform multinomial tree in a conic market. (English) Zbl 1499.91178 Discrete Dyn. Nat. Soc. 2022, Article ID 8650500, 10 p. (2022). MSC: 91G60 91G20 60G40 60G51 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Hu}, Discrete Dyn. Nat. Soc. 2022, Article ID 8650500, 10 p. (2022; Zbl 1499.91178) Full Text: DOI
Ma, Guiyuan; Zhu, Song-Ping; Guo, Ivan Valuation of general contingent claims with short selling bans: an equal-risk pricing approach. (English) Zbl 1496.91087 Int. J. Theor. Appl. Finance 25, No. 4-5, Article ID 2250022, 33 p. (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{G. Ma} et al., Int. J. Theor. Appl. Finance 25, No. 4--5, Article ID 2250022, 33 p. (2022; Zbl 1496.91087) Full Text: DOI arXiv
Bianchi, Michele Leonardo Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (English) Zbl 1497.91315 Commun. Stat., Simulation Comput. 51, No. 7, 3685-3713 (2022). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{M. L. Bianchi}, Commun. Stat., Simulation Comput. 51, No. 7, 3685--3713 (2022; Zbl 1497.91315) Full Text: DOI arXiv
Xu, Xianhua; Aghdam, Yones Esmaeelzade; Farnam, Behnaz; Jafari, Hossein; Masetshaba, Mantepu Tshepo; Ünlü, Canan Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials. (English) Zbl 1498.91500 Fractals 30, No. 5, Article ID 2240166, 8 p. (2022). MSC: 91G60 65M70 91G20 35R11 PDFBibTeX XMLCite \textit{X. Xu} et al., Fractals 30, No. 5, Article ID 2240166, 8 p. (2022; Zbl 1498.91500) Full Text: DOI
Medhin, Negash; Xu, Chuan Optimal asset allocation with restrictions on liquidity. (English) Zbl 1498.91400 Stochastic Anal. Appl. 40, No. 5, 776-797 (2022). MSC: 91G10 49L12 93E20 PDFBibTeX XMLCite \textit{N. Medhin} and \textit{C. Xu}, Stochastic Anal. Appl. 40, No. 5, 776--797 (2022; Zbl 1498.91400) Full Text: DOI
Dalkılıç, Orhan Determining the membership degrees in the range \((0, 1)\) for hypersoft sets independently of the decision-maker. (English) Zbl 1496.03212 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 53, No. 8, 1733-1743 (2022). MSC: 03E72 91B06 91B86 PDFBibTeX XMLCite \textit{O. Dalkılıç}, Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 53, No. 8, 1733--1743 (2022; Zbl 1496.03212) Full Text: DOI
Ge, Yingming; Li, Lingfei; Zhang, Gongqiu A Fourier transform method for solving backward stochastic differential equations. (English) Zbl 1487.65008 Methodol. Comput. Appl. Probab. 24, No. 1, 385-412 (2022). MSC: 65C30 60H35 65T50 91G20 91G60 PDFBibTeX XMLCite \textit{Y. Ge} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 385--412 (2022; Zbl 1487.65008) Full Text: DOI
Auster, Johan; Mathys, Ludovic; Maeder, Fabio JDOI variance reduction method and the pricing of American-style options. (English) Zbl 1486.91091 Quant. Finance 22, No. 4, 639-656 (2022). MSC: 91G60 65R20 65C05 91G20 60G40 PDFBibTeX XMLCite \textit{J. Auster} et al., Quant. Finance 22, No. 4, 639--656 (2022; Zbl 1486.91091) Full Text: DOI arXiv
Yazdani, S.; Hadizadeh, M.; Fakoor, V. Computational analysis of the behavior of stochastic volatility models with financial applications. (English) Zbl 1524.62155 J. Comput. Appl. Math. 411, Article ID 114258, 12 p. (2022). MSC: 62G05 62P05 91G20 62M10 62G07 PDFBibTeX XMLCite \textit{S. Yazdani} et al., J. Comput. Appl. Math. 411, Article ID 114258, 12 p. (2022; Zbl 1524.62155) Full Text: DOI
Nourian, Farshid; Lakestani, Mehrdad; Sabermahani, Sedigheh; Ordokhani, Yadollah Touchard wavelet technique for solving time-fractional Black-Scholes model. (English) Zbl 1499.35675 Comput. Appl. Math. 41, No. 4, Paper No. 150, 19 p. (2022). MSC: 35R11 26A33 65T60 91G80 PDFBibTeX XMLCite \textit{F. Nourian} et al., Comput. Appl. Math. 41, No. 4, Paper No. 150, 19 p. (2022; Zbl 1499.35675) Full Text: DOI
Chen, Ziren; Feng, Lin; Lay, Harold A.; Furati, Khaled; Khaliq, Abdul SEIR model with unreported infected population and dynamic parameters for the spread of COVID-19. (English) Zbl 07529651 Math. Comput. Simul. 198, 31-46 (2022). MSC: 92-XX 91-XX PDFBibTeX XMLCite \textit{Z. Chen} et al., Math. Comput. Simul. 198, 31--46 (2022; Zbl 07529651) Full Text: DOI Link
Christara, Christina C.; Wu, Ruining Penalty and penalty-like methods for nonlinear HJB PDEs. (English) Zbl 1510.65189 Appl. Math. Comput. 425, Article ID 127015, 19 p. (2022). MSC: 65M06 35K57 49L12 65M12 91G20 91G60 PDFBibTeX XMLCite \textit{C. C. Christara} and \textit{R. Wu}, Appl. Math. Comput. 425, Article ID 127015, 19 p. (2022; Zbl 1510.65189) Full Text: DOI
Park, Eunchae; Lyu, Jisang; Kim, Sangkwon; Lee, Chaeyoung; Lee, Wonjin; Choi, Yongho; Kwak, Soobin; Yoo, Changwoo; Hwang, Hyeongseok; Kim, Junseok Calibration of the temporally varying volatility and interest rate functions. (English) Zbl 1496.91091 Int. J. Comput. Math. 99, No. 5, 1066-1079 (2022). MSC: 91G20 91G30 35Q91 PDFBibTeX XMLCite \textit{E. Park} et al., Int. J. Comput. Math. 99, No. 5, 1066--1079 (2022; Zbl 1496.91091) Full Text: DOI
Jiang, H.; Gibson, N. L.; Chen, Y. A stochastic model for the optimal allocation of hydropower flexibility in renewable energy markets. (English) Zbl 1489.91119 Stoch. Models 38, No. 2, 288-307 (2022). MSC: 91B32 91B24 91B74 93E20 49L25 PDFBibTeX XMLCite \textit{H. Jiang} et al., Stoch. Models 38, No. 2, 288--307 (2022; Zbl 1489.91119) Full Text: DOI
Wang, Ming-Kai; Wang, Cheng; Yin, Jun-Feng A class of fourth-order Padé schemes for fractional exotic options pricing model. (English) Zbl 1490.91245 Electron. Res. Arch. 30, No. 3, 874-897 (2022). MSC: 91G60 41A21 91G20 PDFBibTeX XMLCite \textit{M.-K. Wang} et al., Electron. Res. Arch. 30, No. 3, 874--897 (2022; Zbl 1490.91245) Full Text: DOI
Liu, Qi; Khadidos, Alaa Omar; Wan, Pengbo Discretization processing of financial risk management using stochastic differential equation simulation method. (English) Zbl 1486.91082 Fractals 30, No. 2, Article ID 2240069, 11 p. (2022). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{Q. Liu} et al., Fractals 30, No. 2, Article ID 2240069, 11 p. (2022; Zbl 1486.91082) Full Text: DOI
El Amrani, Mohamed; Garmani, Hamid; Ait Omar, Driss; Baslam, Mohamed; Minaoui, Brahim Analysis of the chaotic dynamics duopoly game of ISPs bounded rational. (English) Zbl 1490.91129 Discrete Dyn. Nat. Soc. 2022, Article ID 6632993, 18 p. (2022). MSC: 91B54 91A80 91B55 PDFBibTeX XMLCite \textit{M. El Amrani} et al., Discrete Dyn. Nat. Soc. 2022, Article ID 6632993, 18 p. (2022; Zbl 1490.91129) Full Text: DOI
Chen, Yong Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models. (English) Zbl 1485.91250 Numer. Algorithms 89, No. 4, 1823-1843 (2022). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{Y. Chen}, Numer. Algorithms 89, No. 4, 1823--1843 (2022; Zbl 1485.91250) Full Text: DOI
Medvedeva, Marina A.; Simos, T. E. A two-step method singularly P-Stable with improved properties for problems in quantum chemistry. (English) Zbl 1487.81087 J. Math. Chem. 60, No. 2, 311-336 (2022). MSC: 81Q05 81V55 35B25 35Q91 91B84 PDFBibTeX XMLCite \textit{M. A. Medvedeva} and \textit{T. E. Simos}, J. Math. Chem. 60, No. 2, 311--336 (2022; Zbl 1487.81087) Full Text: DOI
Chen, Yong Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models. (English) Zbl 1499.91166 Comput. Appl. Math. 41, No. 2, Paper No. 75, 17 p. (2022). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{Y. Chen}, Comput. Appl. Math. 41, No. 2, Paper No. 75, 17 p. (2022; Zbl 1499.91166) Full Text: DOI
Zhang, Qi; Song, Haiming; Hao, Yongle Semi-implicit FEM for the valuation of American options under the Heston model. (English) Zbl 1499.91179 Comput. Appl. Math. 41, No. 2, Paper No. 73, 20 p. (2022). MSC: 91G60 65M60 91G20 60G40 65M12 PDFBibTeX XMLCite \textit{Q. Zhang} et al., Comput. Appl. Math. 41, No. 2, Paper No. 73, 20 p. (2022; Zbl 1499.91179) Full Text: DOI
Gan, Xiaoting; Chen, Xiaolin; Xu, Dengguo Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston’s models based on finite volume discretization. (English) Zbl 1484.91516 Taiwanese J. Math. 26, No. 1, 69-101 (2022). Reviewer: Bülent Karasözen (Ankara) MSC: 91G60 65M08 65M06 65F10 91G20 60G40 35R60 PDFBibTeX XMLCite \textit{X. Gan} et al., Taiwanese J. Math. 26, No. 1, 69--101 (2022; Zbl 1484.91516) Full Text: DOI
Tay, Chai Jian; Fakhruddin, Muhammad; Fauzi, Ilham Saiful; Teh, Su Yean; Syamsuddin, Muhammad; Nuraini, Nuning; Soewono, Edy Dengue epidemiological characteristic in Kuala Lumpur and Selangor, Malaysia. (English) Zbl 07478810 Math. Comput. Simul. 194, 489-504 (2022). MSC: 92-XX 91-XX PDFBibTeX XMLCite \textit{C. J. Tay} et al., Math. Comput. Simul. 194, 489--504 (2022; Zbl 07478810) Full Text: DOI
Dalkılıç, Orhan A decision-making approach to reduce the margin of error of decision makers for bipolar soft set theory. (English) Zbl 1483.91063 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 53, No. 2, 265-274 (2022). MSC: 91B06 03E72 03E75 PDFBibTeX XMLCite \textit{O. Dalkılıç}, Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 53, No. 2, 265--274 (2022; Zbl 1483.91063) Full Text: DOI
Ghosh, Abhijit; Mishra, Chittaranjan High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU. (English) Zbl 1524.91139 Comput. Math. Appl. 105, 29-40 (2022). MSC: 91G60 65M06 65R20 91G20 60G40 PDFBibTeX XMLCite \textit{A. Ghosh} and \textit{C. Mishra}, Comput. Math. Appl. 105, 29--40 (2022; Zbl 1524.91139) Full Text: DOI
Roldán López de Hierro, A. F.; Sánchez, M.; Roldán, C. Multi-criteria decision making involving uncertain information via fuzzy ranking and fuzzy aggregation functions. (English) Zbl 1482.91070 J. Comput. Appl. Math. 404, Article ID 113138, 15 p. (2022). MSC: 91B06 91B86 PDFBibTeX XMLCite \textit{A. F. Roldán López de Hierro} et al., J. Comput. Appl. Math. 404, Article ID 113138, 15 p. (2022; Zbl 1482.91070) Full Text: DOI
Lokeshwar, Vikranth; Bharadwaj, Vikram; Jain, Shashi Explainable neural network for pricing and universal static hedging of contingent claims. (English) Zbl 1510.91167 Appl. Math. Comput. 417, Article ID 126775, 20 p. (2022). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{V. Lokeshwar} et al., Appl. Math. Comput. 417, Article ID 126775, 20 p. (2022; Zbl 1510.91167) Full Text: DOI arXiv
Arregui, Iñigo; Simonella, Roberta; Vázquez, Carlos Total value adjustment for European options in a multi-currency setting. (English) Zbl 1510.91161 Appl. Math. Comput. 413, Article ID 126647, 14 p. (2022). MSC: 91G20 60H15 91G60 PDFBibTeX XMLCite \textit{I. Arregui} et al., Appl. Math. Comput. 413, Article ID 126647, 14 p. (2022; Zbl 1510.91161) Full Text: DOI
Almeida, Rui M. P.; Chihaluca, Teófilo D.; Duque, José C. M. Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options. (English) Zbl 1471.91614 J. Comput. Appl. Math. 402, Article ID 113790, 17 p. (2022). MSC: 91G60 65M60 91G20 35K65 PDFBibTeX XMLCite \textit{R. M. P. Almeida} et al., J. Comput. Appl. Math. 402, Article ID 113790, 17 p. (2022; Zbl 1471.91614) Full Text: DOI
Yilmaz, Bilgi; Hekimoglu, A. Alper; Selcuk-Kestel, A. Sevtap Default and prepayment options pricing and default probability valuation under VG model. (English) Zbl 1475.91366 J. Comput. Appl. Math. 399, Article ID 113724, 15 p. (2022). Reviewer: Gerhard-Wilhelm Weber (Poznań and Ankara) with Marta Kanczurzewska and Yavuz Yilmaz MSC: 91G20 PDFBibTeX XMLCite \textit{B. Yilmaz} et al., J. Comput. Appl. Math. 399, Article ID 113724, 15 p. (2022; Zbl 1475.91366) Full Text: DOI
Cordoni, Francesco; Di Persio, Luca Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate. (English) Zbl 1499.91168 Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 47-57 (2021). MSC: 91G60 60H15 62H30 91G30 PDFBibTeX XMLCite \textit{F. Cordoni} and \textit{L. Di Persio}, Springer Proc. Math. Stat. 378, 47--57 (2021; Zbl 1499.91168) Full Text: DOI
Xiaoting, Gan Fitted finite volume method for pricing European options under regime-swithching Merton’s jump-diffusion processes. (Chinese. English summary) Zbl 1513.91103 Math. Numer. Sin. 43, No. 3, 337-353 (2021). MSC: 91G60 65M08 65M15 65M06 65N08 91G20 35R09 PDFBibTeX XMLCite \textit{G. Xiaoting}, Math. Numer. Sin. 43, No. 3, 337--353 (2021; Zbl 1513.91103) Full Text: DOI
Pereira, Luis Ramada; Lopes, Rui J.; Louçã, Jorge; Araújo, Duarte; Ramos, João The soccer game, bit by bit: an information-theoretic analysis. (English) Zbl 1498.91085 Chaos Solitons Fractals 152, Article ID 111356, 12 p. (2021). MSC: 91A40 PDFBibTeX XMLCite \textit{L. R. Pereira} et al., Chaos Solitons Fractals 152, Article ID 111356, 12 p. (2021; Zbl 1498.91085) Full Text: DOI arXiv
Yan, Ruifang; He, Ying; Zuo, Qian A difference method with parallel nature for solving time-space fractional Black-Scholes model. (A difference method with parallel nature for solving time-space fractional Black-Schole model.) (English) Zbl 1498.91501 Chaos Solitons Fractals 151, Article ID 111280, 14 p. (2021). MSC: 91G60 65M06 65M12 65Y05 91G20 PDFBibTeX XMLCite \textit{R. Yan} et al., Chaos Solitons Fractals 151, Article ID 111280, 14 p. (2021; Zbl 1498.91501) Full Text: DOI
Ludkovski, Mike; Saporito, Yuri Krighedge: Gaussian process surrogates for delta hedging. (English) Zbl 1497.91310 Appl. Math. Finance 28, No. 4, 330-360 (2021). MSC: 91G20 68T05 PDFBibTeX XMLCite \textit{M. Ludkovski} and \textit{Y. Saporito}, Appl. Math. Finance 28, No. 4, 330--360 (2021; Zbl 1497.91310) Full Text: DOI arXiv
Kim, Sangkwon; Kim, Junseok Robust and accurate construction of the local volatility surface using the Black-Scholes equation. (English) Zbl 1498.91450 Chaos Solitons Fractals 150, Article ID 111116, 7 p. (2021). MSC: 91G20 65C05 35Q91 91G60 PDFBibTeX XMLCite \textit{S. Kim} and \textit{J. Kim}, Chaos Solitons Fractals 150, Article ID 111116, 7 p. (2021; Zbl 1498.91450) Full Text: DOI
Souza de Cursi, Eduardo Uncertainty quantification in game theory. (English) Zbl 1498.91065 Chaos Solitons Fractals 143, Article ID 110558, 13 p. (2021). MSC: 91A22 37L55 65C20 PDFBibTeX XMLCite \textit{E. Souza de Cursi}, Chaos Solitons Fractals 143, Article ID 110558, 13 p. (2021; Zbl 1498.91065) Full Text: DOI
Yin, Fanghao; Zhao, Yi Optimizing vehicle routing via Stackelberg game framework and distributionally robust equilibrium optimization method. (English) Zbl 1486.90051 Inf. Sci. 557, 84-107 (2021). MSC: 90B06 90B20 91A65 PDFBibTeX XMLCite \textit{F. Yin} and \textit{Y. Zhao}, Inf. Sci. 557, 84--107 (2021; Zbl 1486.90051) Full Text: DOI
Friguis, Maiquison S.; Knupp, Diego C.; Abreu, Luiz A. S.; Stutz, Leonardo T.; Neto, Antônio J. Silva Inverse population dynamics problem employing a low cost integral transform solution and Bayesian inference with approximation error model. (English) Zbl 1486.92156 Int. J. Appl. Comput. Math. 7, No. 5, Paper No. 189, 25 p. (2021). MSC: 92D25 91D20 44A05 65R10 PDFBibTeX XMLCite \textit{M. S. Friguis} et al., Int. J. Appl. Comput. Math. 7, No. 5, Paper No. 189, 25 p. (2021; Zbl 1486.92156) Full Text: DOI
Kumar, Nitin; Gupta, Umesh Chandra; Singh, Gagandeep Computational and numerical investigation of the batch Markovian arrival process subject to renewal generated geometric catastrophes. (English) Zbl 1486.91057 Int. J. Appl. Comput. Math. 7, No. 5, Paper No. 175, 34 p. (2021). MSC: 91D20 60K20 PDFBibTeX XMLCite \textit{N. Kumar} et al., Int. J. Appl. Comput. Math. 7, No. 5, Paper No. 175, 34 p. (2021; Zbl 1486.91057) Full Text: DOI
Heidari, S.; Azari, H. A numerical method for pricing perpetual American options under regime switching jump diffusion models. (English) Zbl 1480.91315 Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 28, No. 3, 143-163 (2021). MSC: 91G60 65M06 65M32 91G20 60H40 PDFBibTeX XMLCite \textit{S. Heidari} and \textit{H. Azari}, Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 28, No. 3, 143--163 (2021; Zbl 1480.91315) Full Text: Link
Yan, Ruifang; Yang, Xiaozhong; Sun, Shuzhen A class of explicit-implicit alternating parallel difference methods for the two-dimensional Black-Scholes equation. (English) Zbl 1480.91321 Int. J. Comput. Math. 98, No. 6, 1112-1129 (2021). MSC: 91G60 65M06 65M12 91G20 65Y05 PDFBibTeX XMLCite \textit{R. Yan} et al., Int. J. Comput. Math. 98, No. 6, 1112--1129 (2021; Zbl 1480.91321) Full Text: DOI
Li, Y.; Sam, C. N.; Hon, Y. C.; Ng, K. S. An integration preconditioning method for solving option pricing problems. (English) Zbl 1510.91190 Int. J. Comput. Math. 98, No. 2, 367-388 (2021). MSC: 91G60 65N35 65D12 65D32 91G20 PDFBibTeX XMLCite \textit{Y. Li} et al., Int. J. Comput. Math. 98, No. 2, 367--388 (2021; Zbl 1510.91190) Full Text: DOI
Guerra, Manuel; Nunes, Cláudia; Oliveira, Carlos The optimal stopping problem revisited. (English) Zbl 1477.60067 Stat. Pap. 62, No. 1, 137-169 (2021). MSC: 60G40 91G50 PDFBibTeX XMLCite \textit{M. Guerra} et al., Stat. Pap. 62, No. 1, 137--169 (2021; Zbl 1477.60067) Full Text: DOI
Curin, Nicolas; Kettler, Michael; Kleisinger-Yu, Xi; Komaric, Vlatka; Krabichler, Thomas; Teichmann, Josef; Wutte, Hanna A deep learning model for gas storage optimization. (English) Zbl 1480.91153 Decis. Econ. Finance 44, No. 2, 1021-1037 (2021). MSC: 91B74 93E20 68T07 PDFBibTeX XMLCite \textit{N. Curin} et al., Decis. Econ. Finance 44, No. 2, 1021--1037 (2021; Zbl 1480.91153) Full Text: DOI arXiv