We develop finite difference numerical schemes for a model arising in multi-body structures, previously analyzed by H. Koch and E. Zuazua, constituted by two n-dimensional wave equations coupled with ...

A numerical method for a class of forward-backward stochastic differential equations (FBSDEs) is proposed and analyzed. The method is designed around the four step scheme [J. Douglas, Jr., J. Ma, and ...

We propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average, such as Asian options and bond prices in the Dothan model. We show ...

An introduction to the theory, algorithms, approximations, and applications of stochastic processes. Topics studied include Markov chain and continuous and continuous time Markov process models and ...

Computers are typically able to complete approximation calculations faster than they can complete numerical methods. Investopedia does not provide tax, investment, or financial services and advice.

Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression Lars Stentoft ...