Over the last fifty years, there has been an increasing intersection of methodologies,
applications, and contributions at the frontier of finance and operations research. This invited …

We present a fully-discrete finite element scheme to a generalized distributed-order time-
fractional option pricing model, which adequately describes, eg, the valuation of the …

In this paper, we propose a general data-driven framework that unifies the valuation and risk
measurement of financial derivatives, which is especially useful in markets with thinly-traded …

We construct a universal Monte Carlo method for pricing the options whose payout function
depends on the final position of the extremum of the Lévy process. The proposed method is …

This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …

We developed a new method to price double barrier options under pure non-Gaussian Lévy
processes admitting jumps of unbounded variation. In our approach, we represent the …

Persistence in the literature is the perception of an inherent tradeoff between ecological
conservation and economic harvesting goals. Overexploitation may lead to resource …

В статье построен универсальный метод Монте-Карло для оценивания опционов,
функция выплат которых зависит от конечного положения экстремума процесса Леви …

This paper proposes a novel representation for the early exercise boundary of American-
style double knock-out options in terms of the simpler optimal stop** boundary of a nested …

The authors propose an explicit closed-form approximation formula for the price of discretely
monitored single or double barrier options with an underlying asset that evolves according …