The general intractability of derivative security valuation models to present techniques, both
analytic and numerical, arguably remains one of the preeminant problem of mathematical …

We consider the valuation of Asian options by variational methods; in particular, the value
function is seen to satisfy an ultraparabolic variational inequality. A theoretical framework is …

… The specific model utilized is introduced in Choi and Marcozzi [13]. The general model for
American options on a foreign currency under stochastic interests rates was first developed in …

In this paper, we consider the partial differential equations approach for valuing European
and American style options on multiple assets. We use a method of lines finite element …

We consider the valuation of options written on a foreign currency when interest rates are
stochastic and the matrix of the diffusion representing the global economy is strongly coercive. …

Introduces a numerical approach to valuing US options on a foreign currency using a short
rate model. Description of the Amin and Jarrow Currency Option Model; Application of the …

Salmonella enteritidis accounted for 5.45% of the 118.685 Salmonella isolates from man and
for 2.65% of the 3.315 Salmonella isolates from food in Italy in the eleven year period 1978 …

A simple mesh/grid free numerical method for Poisson's equation has been developed to
solve large scale problems in three-dimensions, In this paper, the Poisson's equation is split …

Ultraparabolic equations arise from the characterization of the performance index of
stochastic optimal control relative to ultradiffusion processes; they evidence multiple temporal …

We consider the approximation of the optimal stopping problem associated with ultradiffusion
processes in the context of mathematical finance and the valuation of Asian options. In …