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On some generalized American style derivatives
TS Zaevski - Computational and Applied Mathematics, 2024 - Springer
The aim of this paper is to examine some American style financial instruments with
generalized payment structures, in particular for the power functions. We first prove several …
generalized payment structures, in particular for the power functions. We first prove several …
Generalized finite integration method with Volterra Operator for pricing multi-asset barrier option
Y Ma, CN Sam, JMH Hon - Engineering Analysis with Boundary Elements, 2023 - Elsevier
We investigate in this paper the pricing of European-style barrier options under the Black–
Scholes model. Based on the recently developed Generalized Finite Integration Method with …
Scholes model. Based on the recently developed Generalized Finite Integration Method with …
Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
In this paper, the Black–Scholes (BS) equation to price American options is studied which is
governed by a partial differential problem. A nonlinear partial differential equation (PDE) is …
governed by a partial differential problem. A nonlinear partial differential equation (PDE) is …
[PDF][PDF] AN APPROACH FOR PRICING AMERICAN-STYLE DERIVATIVES
TS Zaevski - math.bas.bg
Derivatives are one of the most important instruments against the financial risks. They are
based on some underlying object which can be a single asset, portfolio of assets, financial …
based on some underlying object which can be a single asset, portfolio of assets, financial …