SIAM Journal on Numerical Analysis, Vol. 25, No. 1 (Feb., 1988), pp. 153-162 (10 pages) For moderate-sized problems one can obtain numerical solutions with rigorous ...
Vol. 9, No. 2, Special Issue of the Proceeding of 2004 Annual Meeting of Differential Equations and Mathematical Analysis (January 9-11, 2004, National Tsing-Hua University, Hsinchu, Taiwan) In honor ...
In this paper, we consider the valuation of European and path-dependent options in foreign exchange markets when the currency exchange rate evolves according to the Heston model combined with the ...
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