Reaction-diffusion equations underpin the modelling of a vast array of natural and engineered phenomena, ranging from the spread of invasive species and epidemic outbreaks to phase transitions in ...
“However, to compare model predictions with empirical observations, one needs to study the diffusion equation in finite space. Despite the work of illustrious scientists such as Smoluchowski, Pólya, ...
This paper presents a simple numerical approach to compute accurately the values and optimal exercise boundaries for American options when the underlying process is a double exponential jump-diffusion ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results