Mao, Mengli; Tian, Hongjiong; Wang, Wansheng A variable step-size extrapolated Crank-Nicolson method for option pricing under stochastic volatility model with jump. (English) Zbl 07823719 Math. Methods Appl. Sci. 47, No. 2, 762-781 (2024). MSC: 65J10 65M06 65M15 65L06 91G60 PDFBibTeX XMLCite \textit{M. Mao} et al., Math. Methods Appl. Sci. 47, No. 2, 762--781 (2024; Zbl 07823719) Full Text: DOI
Chen, Yong Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing. (English) Zbl 07806993 Numer. Algorithms 95, No. 3, 1055-1077 (2024). MSC: 65C20 65C40 65M06 91G20 91G60 PDFBibTeX XMLCite \textit{Y. Chen}, Numer. Algorithms 95, No. 3, 1055--1077 (2024; Zbl 07806993) Full Text: DOI
Fan, Congyin; Chen, Wenting; Feng, Bing Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps. (English) Zbl 07798630 Netw. Heterog. Media 18, No. 1, 191-211 (2023). MSC: 91G20 35Q91 35R09 35R35 35R11 65T50 91G60 PDFBibTeX XMLCite \textit{C. Fan} et al., Netw. Heterog. Media 18, No. 1, 191--211 (2023; Zbl 07798630) Full Text: DOI
Sahu, Pradeep Kumar; Patel, Kuldip Singh High order method for variable coefficient integro-differential equations and inequalities arising in option pricing. (English) Zbl 07793808 Int. J. Numer. Anal. Model. 20, No. 4, 538-556 (2023). MSC: 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{P. K. Sahu} and \textit{K. S. Patel}, Int. J. Numer. Anal. Model. 20, No. 4, 538--556 (2023; Zbl 07793808) Full Text: DOI
Chowdhury, Indranil; Ersland, Olav; Jakobsen, Espen R. On numerical approximations of fractional and nonlocal mean field games. (English) Zbl 1527.35428 Found. Comput. Math. 23, No. 4, 1381-1431 (2023). MSC: 35Q89 35Q84 91A16 47G20 49L12 49L25 45K05 35K61 35F21 65M12 65M22 93B52 93C20 60J65 60G55 26A33 35R11 35R06 PDFBibTeX XMLCite \textit{I. Chowdhury} et al., Found. Comput. Math. 23, No. 4, 1381--1431 (2023; Zbl 1527.35428) Full Text: DOI arXiv
Kafando, Delwendé Abdoul-Kabir; Béré, Frédéric; Konané, Victorien; Nitiéma, Pierre Clovis Extension of the compound Poisson model via the Spearman copula. (English) Zbl 07727212 Far East J. Theor. Stat. 67, No. 2, 147-184 (2023). MSC: 91G05 60K10 62H05 45J05 PDFBibTeX XMLCite \textit{D. A. K. Kafando} et al., Far East J. Theor. Stat. 67, No. 2, 147--184 (2023; Zbl 07727212) Full Text: DOI
Madan, Dilip B.; Schoutens, Wim; Wang, King Option returns. (English) Zbl 1520.91405 Front. Math. Finance 2, No. 2, 244-264 (2023). MSC: 91G20 35R60 45K05 60G46 PDFBibTeX XMLCite \textit{D. B. Madan} et al., Front. Math. Finance 2, No. 2, 244--264 (2023; Zbl 1520.91405) Full Text: DOI
Gan, Xiaoting; Yin, Junfeng; Li, Rui On the convergence of a Crank-Nicolson fitted finite volume method for pricing european options under regime-switching Kou’s jump-diffusion models. (English) Zbl 1524.65455 Adv. Appl. Math. Mech. 15, No. 5, 1290-1314 (2023). MSC: 65M08 65M12 91G60 35R09 91G20 35Q91 65N06 65N08 65M06 PDFBibTeX XMLCite \textit{X. Gan} et al., Adv. Appl. Math. Mech. 15, No. 5, 1290--1314 (2023; Zbl 1524.65455) Full Text: DOI
Chen, Yong; Hu, Ruizi \(L^\infty\)-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing. (English) Zbl 07705626 Int. J. Comput. Math. 100, No. 6, 1373-1394 (2023). MSC: 65R20 45K05 91G60 91G20 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{R. Hu}, Int. J. Comput. Math. 100, No. 6, 1373--1394 (2023; Zbl 07705626) Full Text: DOI
Rodrigo, Marianito R. On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics. (English) Zbl 1514.47068 Appl. Anal. 102, No. 1, 220-238 (2023). MSC: 47D06 47N10 45K05 91G20 91G80 35A22 65R20 PDFBibTeX XMLCite \textit{M. R. Rodrigo}, Appl. Anal. 102, No. 1, 220--238 (2023; Zbl 1514.47068) Full Text: DOI
Guan, Chonghu Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps. (English) Zbl 1512.35586 Appl. Math. Optim. 88, No. 1, Paper No. 15, 36 p. (2023). MSC: 35Q91 91B70 91B05 93E20 35R35 35K10 35R09 60G55 35A09 35A01 PDFBibTeX XMLCite \textit{C. Guan}, Appl. Math. Optim. 88, No. 1, Paper No. 15, 36 p. (2023; Zbl 1512.35586) Full Text: DOI
Cheung, Eric C. K.; Lau, Hayden; Willmot, Gordon E.; Woo, Jae-Kyung Finite-time ruin probabilities using bivariate Laguerre series. (English) Zbl 1511.91114 Scand. Actuar. J. 2023, No. 2, 153-190 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 45K05 62P05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} et al., Scand. Actuar. J. 2023, No. 2, 153--190 (2023; Zbl 1511.91114) Full Text: DOI
He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, Kazutoshi The Gerber-Shiu discounted penalty function: a review from practical perspectives. (English) Zbl 1508.91474 Insur. Math. Econ. 109, 1-28 (2023). MSC: 91G05 60K10 PDFBibTeX XMLCite \textit{Y. He} et al., Insur. Math. Econ. 109, 1--28 (2023; Zbl 1508.91474) Full Text: DOI arXiv
Xing, Yu; Wang, Wei; Su, Xiaonan; Niu, Huawei Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps. (English) Zbl 1524.91126 J. Ind. Manag. Optim. 19, No. 3, 1869-1892 (2023). MSC: 91G20 45K05 60H30 65C30 PDFBibTeX XMLCite \textit{Y. Xing} et al., J. Ind. Manag. Optim. 19, No. 3, 1869--1892 (2023; Zbl 1524.91126) Full Text: DOI
Wang, Wansheng; Mao, Mengli; Huang, Yi A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models. (English) Zbl 1503.65187 J. Sci. Comput. 93, No. 2, Paper No. 55, 29 p. (2022). MSC: 65M06 65M15 65M50 65L70 65L06 35R09 91G20 91G60 35Q91 35R60 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Sci. Comput. 93, No. 2, Paper No. 55, 29 p. (2022; Zbl 1503.65187) Full Text: DOI
Belkina, T. A.; Konyukhova, N. B.; Kurochkin, S. V. Optimal control of investment in a collective pension insurance model: study of singular nonlinear problems for integro-differential equations. (English. Russian original) Zbl 1500.91110 Comput. Math. Math. Phys. 62, No. 9, 1438-1454 (2022); translation from Zh. Vychisl. Mat. Mat. Fiz. 62, No. 9, 1473-1490 (2022). MSC: 91G05 93E20 49L25 45K05 PDFBibTeX XMLCite \textit{T. A. Belkina} et al., Comput. Math. Math. Phys. 62, No. 9, 1438--1454 (2022; Zbl 1500.91110); translation from Zh. Vychisl. Mat. Mat. Fiz. 62, No. 9, 1473--1490 (2022) Full Text: DOI
Akahori, J.; Constantinescu, C.; Imamura, Y.; Pham, H. H. An application of risk theory to mortgage lending. (English) Zbl 1492.91268 Scand. Actuar. J. 2022, No. 5, 447-469 (2022). MSC: 91G05 45K05 PDFBibTeX XMLCite \textit{J. Akahori} et al., Scand. Actuar. J. 2022, No. 5, 447--469 (2022; Zbl 1492.91268) Full Text: DOI
Rodrigo, M.; Mamon, R. S. Jumping hedges on the strength of the Mellin transform. (English) Zbl 1492.91384 Results Appl. Math. 14, Article ID 100262, 28 p. (2022). MSC: 91G20 60J74 44A10 45K05 PDFBibTeX XMLCite \textit{M. Rodrigo} and \textit{R. S. Mamon}, Results Appl. Math. 14, Article ID 100262, 28 p. (2022; Zbl 1492.91384) Full Text: DOI
Hernandez, Eduardo; Rolnik, Vanessa; Ferrari, Thauana M. Existence and uniqueness of solutions for abstract integro-differential equations with state-dependent delay and applications. (English) Zbl 1496.34113 Mediterr. J. Math. 19, No. 3, Paper No. 101, 13 p. (2022). Reviewer: Krishnan Balachandran (Coimbatore) MSC: 34K30 34K43 47N20 91B62 92D25 PDFBibTeX XMLCite \textit{E. Hernandez} et al., Mediterr. J. Math. 19, No. 3, Paper No. 101, 13 p. (2022; Zbl 1496.34113) Full Text: DOI
Ghosh, Abhijit; Mishra, Chittaranjan High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU. (English) Zbl 1524.91139 Comput. Math. Appl. 105, 29-40 (2022). MSC: 91G60 65M06 65R20 91G20 60G40 PDFBibTeX XMLCite \textit{A. Ghosh} and \textit{C. Mishra}, Comput. Math. Appl. 105, 29--40 (2022; Zbl 1524.91139) Full Text: DOI
Shirzadi, Mohammad; Dehghan, Mehdi; Bastani, Ali Foroush Optimal uniform error estimates for moving least-squares collocation with application to option pricing under jump-diffusion processes. (English) Zbl 07777690 Numer. Methods Partial Differ. Equations 37, No. 1, 98-117 (2021). MSC: 65M70 65M06 65N35 65K10 65M12 65M15 35J15 35R09 60G51 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{M. Shirzadi} et al., Numer. Methods Partial Differ. Equations 37, No. 1, 98--117 (2021; Zbl 07777690) Full Text: DOI
Bergault, Philippe; Guéant, Olivier Size matters for OTC market makers: general results and dimensionality reduction techniques. (English) Zbl 1522.91238 Math. Finance 31, No. 1, 279-322 (2021). MSC: 91G15 45K05 93E20 PDFBibTeX XMLCite \textit{P. Bergault} and \textit{O. Guéant}, Math. Finance 31, No. 1, 279--322 (2021; Zbl 1522.91238) Full Text: DOI arXiv
Xing, Yu; Xu, Yuhua; Niu, Huawei Equilibrium valuation of currency options under a discontinuous model with co-jumps. (English) Zbl 1503.91139 Probab. Eng. Inf. Sci. 35, No. 3, 432-450 (2021). MSC: 91G20 45K05 PDFBibTeX XMLCite \textit{Y. Xing} et al., Probab. Eng. Inf. Sci. 35, No. 3, 432--450 (2021; Zbl 1503.91139) Full Text: DOI
Colaneri, Katia; Frey, Rüdiger Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. (English) Zbl 1475.91353 Insur. Math. Econ. 101, 498-507 (2021). MSC: 91G20 60J74 45K05 PDFBibTeX XMLCite \textit{K. Colaneri} and \textit{R. Frey}, Insur. Math. Econ. 101, 498--507 (2021; Zbl 1475.91353) Full Text: DOI arXiv
Wang, Wansheng; Mao, Mengli; Wang, Zheng An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function. (English) Zbl 1481.65160 ESAIM, Math. Model. Numer. Anal. 55, No. 3, 913-938 (2021). MSC: 65M06 65N06 65M12 65M15 65D30 91G20 91G60 65J10 60G51 35R09 35Q91 PDFBibTeX XMLCite \textit{W. Wang} et al., ESAIM, Math. Model. Numer. Anal. 55, No. 3, 913--938 (2021; Zbl 1481.65160) Full Text: DOI
Ersland, Olav; Jakobsen, Espen R. On fractional and nonlocal parabolic mean field games in the whole space. (English) Zbl 1489.35283 J. Differ. Equations 301, 428-470 (2021). Reviewer: Solden Stoll (Seattle) MSC: 35Q89 35Q84 35Q91 91A16 47G20 35A01 35A02 35A09 35B65 35B45 35D30 35S10 35K61 35K08 49L12 45K05 26A33 35R11 PDFBibTeX XMLCite \textit{O. Ersland} and \textit{E. R. Jakobsen}, J. Differ. Equations 301, 428--470 (2021; Zbl 1489.35283) Full Text: DOI arXiv
Bian, Baojun; Hao, Chaoyang; Xu, Hong-Kun; Yuan, Quan Free boundary and retirement benefits pricing in a jump-diffusion model. (English) Zbl 1519.91207 J. Nonlinear Var. Anal. 5, No. 3, 353-370 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 35R35 60J74 91G80 49J40 45K05 PDFBibTeX XMLCite \textit{B. Bian} et al., J. Nonlinear Var. Anal. 5, No. 3, 353--370 (2021; Zbl 1519.91207) Full Text: DOI
Yi, Son-Young; Lee, Kiseop Numerical study for European option pricing equations with non-Levy jumps. (English) Zbl 1471.91623 Appl. Anal. 100, No. 7, 1454-1470 (2021). MSC: 91G60 65M06 91G20 60H30 60J74 PDFBibTeX XMLCite \textit{S.-Y. Yi} and \textit{K. Lee}, Appl. Anal. 100, No. 7, 1454--1470 (2021; Zbl 1471.91623) Full Text: DOI
Shirzadi, Mohammad; Dehghan, Mehdi; Bastani, Ali Foroush A trustable shape parameter in the kernel-based collocation method with application to pricing financial options. (English) Zbl 1464.91076 Eng. Anal. Bound. Elem. 126, 108-117 (2021). MSC: 91G60 65M70 45K05 60G51 60H30 PDFBibTeX XMLCite \textit{M. Shirzadi} et al., Eng. Anal. Bound. Elem. 126, 108--117 (2021; Zbl 1464.91076) Full Text: DOI
Zhang, Lili The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier. (English) Zbl 1461.91085 Bull. Iran. Math. Soc. 47, No. 2, 569-583 (2021). MSC: 91B05 60K25 60G40 62P05 60J74 45J05 PDFBibTeX XMLCite \textit{L. Zhang}, Bull. Iran. Math. Soc. 47, No. 2, 569--583 (2021; Zbl 1461.91085) Full Text: DOI
Boen, Lynn; in ’t Hout, Karel J. Operator splitting schemes for the two-asset Merton jump-diffusion model. (English) Zbl 1459.65138 J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021). MSC: 65M06 65N40 65T50 60J74 35R09 45K05 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{L. Boen} and \textit{K. J. in 't Hout}, J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021; Zbl 1459.65138) Full Text: DOI arXiv
Yang, Zhanwen; Yang, Huizi; Yao, Zichen Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions. (English) Zbl 1451.60079 J. Comput. Appl. Math. 383, Article ID 113156, 10 p. (2021). MSC: 60H35 91B70 PDFBibTeX XMLCite \textit{Z. Yang} et al., J. Comput. Appl. Math. 383, Article ID 113156, 10 p. (2021; Zbl 1451.60079) Full Text: DOI
Cruz, José M. T. S.; Ševčovič, Daniel On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models. (English) Zbl 1474.45064 Japan J. Ind. Appl. Math. 37, No. 3, 697-721 (2020). MSC: 45K05 45R05 60G65 91G20 PDFBibTeX XMLCite \textit{J. M. T. S. Cruz} and \textit{D. Ševčovič}, Japan J. Ind. Appl. Math. 37, No. 3, 697--721 (2020; Zbl 1474.45064) Full Text: DOI arXiv
Shirzadi, Mohammad; Dehghan, Mehdi; Foroush Bastani, Ali On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation. (English) Zbl 1463.91203 Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105160, 18 p. (2020). MSC: 91G60 45K05 60G51 60H30 65M06 65M70 35R35 91G20 PDFBibTeX XMLCite \textit{M. Shirzadi} et al., Commun. Nonlinear Sci. Numer. Simul. 84, Article ID 105160, 18 p. (2020; Zbl 1463.91203) Full Text: DOI
Zhang, Sumei; Zhao, Jieqiong Option pricing under mixed exponential jump diffusion model based on the FST method. (Chinese. English summary) Zbl 1449.91169 Chin. J. Eng. Math. 37, No. 2, 165-176 (2020). MSC: 91G20 60J70 60J74 45K05 91G80 PDFBibTeX XMLCite \textit{S. Zhang} and \textit{J. Zhao}, Chin. J. Eng. Math. 37, No. 2, 165--176 (2020; Zbl 1449.91169) Full Text: DOI
Albani, Vinicius V. L.; Zubelli, Jorge P. A splitting strategy for the calibration of jump-diffusion models. (English) Zbl 1447.91190 Finance Stoch. 24, No. 3, 677-722 (2020). Reviewer: George Stoica (Saint John) MSC: 91G60 65M32 65M06 91G20 60J74 PDFBibTeX XMLCite \textit{V. V. L. Albani} and \textit{J. P. Zubelli}, Finance Stoch. 24, No. 3, 677--722 (2020; Zbl 1447.91190) Full Text: DOI arXiv
Peng, Xuanhua; Su, Wen; Zhang, Zhimin On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy. (English) Zbl 1449.91107 J. Ind. Manag. Optim. 16, No. 4, 1967-1986 (2020). MSC: 91G05 60K10 60J74 45K05 PDFBibTeX XMLCite \textit{X. Peng} et al., J. Ind. Manag. Optim. 16, No. 4, 1967--1986 (2020; Zbl 1449.91107) Full Text: DOI
Liu, Zhang; Chen, Ping; Hu, Yijun On the dual risk model with diffusion under a mixed dividend strategy. (English) Zbl 1488.91096 Appl. Math. Comput. 376, Article ID 125115, 19 p. (2020). MSC: 91G05 45K05 PDFBibTeX XMLCite \textit{Z. Liu} et al., Appl. Math. Comput. 376, Article ID 125115, 19 p. (2020; Zbl 1488.91096) Full Text: DOI
Ma, Jingtang; Wang, Han Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing. (English) Zbl 1447.65029 J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020). Reviewer: Srinivasan Natesan (Assam) MSC: 65M06 65M12 91G60 35R09 45K05 91G20 35R37 65M15 PDFBibTeX XMLCite \textit{J. Ma} and \textit{H. Wang}, J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020; Zbl 1447.65029) Full Text: DOI
Sendova, Kristina P.; Zhang, Ruixi Maximum surplus and \(R_n\) class of distributions with an application to dividends. (English) Zbl 1433.91145 J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60K10 45K05 PDFBibTeX XMLCite \textit{K. P. Sendova} and \textit{R. Zhang}, J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020; Zbl 1433.91145) Full Text: DOI
Belkina, T. A.; Konyukhova, N. B.; Slavko, B. V. Solvency of an insurance company in a dual risk model with investment: analysis and numerical study of singular boundary value problems. (English. Russian original) Zbl 1443.91251 Comput. Math. Math. Phys. 59, No. 11, 1904-1927 (2019); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 11, 1973-1997 (2019). MSC: 91G05 91G60 65N99 PDFBibTeX XMLCite \textit{T. A. Belkina} et al., Comput. Math. Math. Phys. 59, No. 11, 1904--1927 (2019; Zbl 1443.91251); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 11, 1973--1997 (2019) Full Text: DOI
Chen, Jie; Yu, Yong; Shen, Ying; Liu, Jianmei The expected discounted penalty function of a risk model with linear dividend barrier. (Chinese. English summary) Zbl 1449.91096 J. Qufu Norm. Univ., Nat. Sci. 45, No. 3, 23-26 (2019). MSC: 91G05 45K05 PDFBibTeX XMLCite \textit{J. Chen} et al., J. Qufu Norm. Univ., Nat. Sci. 45, No. 3, 23--26 (2019; Zbl 1449.91096)
Hozman, Jiří; Tichý, Tomáš; Vlasák, Miloslav DG method for pricing European options under Merton jump-diffusion model. (English) Zbl 1524.65547 Appl. Math., Praha 64, No. 5, 501-530 (2019). MSC: 65M60 35Q91 65M15 91G60 91G80 35R09 91G20 PDFBibTeX XMLCite \textit{J. Hozman} et al., Appl. Math., Praha 64, No. 5, 501--530 (2019; Zbl 1524.65547) Full Text: DOI
Yang, Huizi; Yang, Zhanwen; Ma, Shufang Theoretical and numerical analysis for Volterra integro-differential equations with Itô integral under polynomially growth conditions. (English) Zbl 1429.65022 Appl. Math. Comput. 360, 70-82 (2019). MSC: 65C30 34K07 45J05 60H20 91B70 PDFBibTeX XMLCite \textit{H. Yang} et al., Appl. Math. Comput. 360, 70--82 (2019; Zbl 1429.65022) Full Text: DOI
Lachowicz, Mirosław; Leszczyński, Henryk; Topolski, Krzysztof A. Self-organization with small range interactions: equilibria and creation of bipolarity. (English) Zbl 1428.45008 Appl. Math. Comput. 343, 156-166 (2019). MSC: 45J05 45K05 34K21 35R09 91D10 35Q91 35Q92 92B05 PDFBibTeX XMLCite \textit{M. Lachowicz} et al., Appl. Math. Comput. 343, 156--166 (2019; Zbl 1428.45008) Full Text: DOI
Wang, Wansheng; Chen, Yingzi; Fang, Hua On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance. (English) Zbl 1422.65189 SIAM J. Numer. Anal. 57, No. 3, 1289-1317 (2019). MSC: 65M06 65M55 65L60 91B25 91G60 65J10 65M12 35R09 45K05 65M50 PDFBibTeX XMLCite \textit{W. Wang} et al., SIAM J. Numer. Anal. 57, No. 3, 1289--1317 (2019; Zbl 1422.65189) Full Text: DOI
Pindza, Edson; Youbi, Francis; Maré, Eben; Davison, Matt Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models. (English) Zbl 1418.91601 Discrete Contin. Dyn. Syst., Ser. S 12, No. 3, 625-643 (2019). MSC: 91G60 65M70 65R20 41A10 41A20 91G20 PDFBibTeX XMLCite \textit{E. Pindza} et al., Discrete Contin. Dyn. Syst., Ser. S 12, No. 3, 625--643 (2019; Zbl 1418.91601) Full Text: DOI
Rivaz, Azim; Mohseni Moghadam, Mahmoud; Bani Asadi, Samaneh Numerical solutions of Black-Scholes integro-differential equations with convergence analysis. (English) Zbl 1418.65202 Turk. J. Math. 43, No. 3, 1080-1094 (2019). MSC: 65R20 91G60 65C30 PDFBibTeX XMLCite \textit{A. Rivaz} et al., Turk. J. Math. 43, No. 3, 1080--1094 (2019; Zbl 1418.65202) Full Text: DOI
Mudzimbabwe, Walter A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model. (English) Zbl 1419.49033 J. Comput. Appl. Math. 360, 55-61 (2019). MSC: 49L20 49K15 45J05 91B30 PDFBibTeX XMLCite \textit{W. Mudzimbabwe}, J. Comput. Appl. Math. 360, 55--61 (2019; Zbl 1419.49033) Full Text: DOI
Qin, Cong; Chen, Xinfu On balanced growth path solutions of a knowledge diffusion and growth model. (English) Zbl 1411.91399 SIAM J. Financ. Math. 10, No. 1, 130-155 (2019). MSC: 91B62 91A15 45K05 35Q91 35C07 35Q20 PDFBibTeX XMLCite \textit{C. Qin} and \textit{X. Chen}, SIAM J. Financ. Math. 10, No. 1, 130--155 (2019; Zbl 1411.91399) Full Text: DOI
Li, Shuanming; Lu, Yi; Sendova, Kristina P. The expected discounted penalty function: from infinite time to finite time. (English) Zbl 1411.91303 Scand. Actuar. J. 2019, No. 4, 336-354 (2019). MSC: 91B30 35Q91 45K05 PDFBibTeX XMLCite \textit{S. Li} et al., Scand. Actuar. J. 2019, No. 4, 336--354 (2019; Zbl 1411.91303) Full Text: DOI
Momeya, Romuald Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model. (English) Zbl 1494.91160 Stochastics 90, No. 8, 1238-1275 (2018). MSC: 91G20 49L25 60G51 45K05 PDFBibTeX XMLCite \textit{R. Momeya}, Stochastics 90, No. 8, 1238--1275 (2018; Zbl 1494.91160) Full Text: DOI
Yu, Wenguang; Huang, Yujuan; Cui, Chaoran The absolute ruin insurance risk model with a threshold dividend strategy. (English) Zbl 1425.91236 Symmetry 10, No. 9, Paper No. 377, 19 p. (2018). MSC: 91B30 45K05 PDFBibTeX XMLCite \textit{W. Yu} et al., Symmetry 10, No. 9, Paper No. 377, 19 p. (2018; Zbl 1425.91236) Full Text: DOI
Gaß, Maximilian; Glau, Kathrin A flexible Galerkin scheme for option pricing in Lévy models. (English) Zbl 1416.91401 SIAM J. Financ. Math. 9, No. 3, 930-965 (2018). MSC: 91G60 65M60 91G20 60G51 35S10 91-04 PDFBibTeX XMLCite \textit{M. Gaß} and \textit{K. Glau}, SIAM J. Financ. Math. 9, No. 3, 930--965 (2018; Zbl 1416.91401) Full Text: DOI arXiv
Patel, Kuldip Singh; Mehra, Mani Fourth-order compact scheme for option pricing under the Merton’s and Kou’s jump-diffusion models. (English) Zbl 1395.91501 Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850027, 26 p. (2018). MSC: 91G60 65M06 65M12 65R20 91G20 PDFBibTeX XMLCite \textit{K. S. Patel} and \textit{M. Mehra}, Int. J. Theor. Appl. Finance 21, No. 4, Article ID 1850027, 26 p. (2018; Zbl 1395.91501) Full Text: DOI arXiv
Gyulov, T. B.; Vulkov, L. G. Well posedness and comparison principle for option pricing with switching liquidity. (English) Zbl 1394.35514 Nonlinear Anal., Real World Appl. 43, 348-361 (2018). MSC: 35Q91 35R09 91G20 PDFBibTeX XMLCite \textit{T. B. Gyulov} and \textit{L. G. Vulkov}, Nonlinear Anal., Real World Appl. 43, 348--361 (2018; Zbl 1394.35514) Full Text: DOI arXiv
in ’t Hout, Karel J.; Toivanen, Jari ADI schemes for valuing European options under the Bates model. (English) Zbl 1390.91327 Appl. Numer. Math. 130, 143-156 (2018). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{K. J. in 't Hout} and \textit{J. Toivanen}, Appl. Numer. Math. 130, 143--156 (2018; Zbl 1390.91327) Full Text: DOI arXiv Link
Jódar, L.; Fakharany, M.; Company, R. 2D Gauss-Hermite quadrature method for jump-diffusion PIDE option pricing models. (English) Zbl 1418.91600 Constanda, Christian (ed.) et al., Integral methods in science and engineering, Volume 2. Practical applications. Based on talks given at the 14th international conference, Padova, Italy, July 25–29, 2016. Basel: Birkhäuser/Springer. 137-145 (2017). MSC: 91G60 91G20 65M06 45K05 60J75 PDFBibTeX XMLCite \textit{L. Jódar} et al., in: Integral methods in science and engineering, Volume 2. Practical applications. Based on talks given at the 14th international conference, Padova, Italy, July 25--29, 2016. Basel: Birkhäuser/Springer. 137--145 (2017; Zbl 1418.91600) Full Text: DOI
Bianca, Carlo; Kombargi, Aly On the modeling of the stock market evolution by means of the information-thermostatted kinetic theory. (English) Zbl 1386.91178 Nonlinear Stud. 24, No. 4, 935-944 (2017). MSC: 91G80 35R09 35Q91 94A17 PDFBibTeX XMLCite \textit{C. Bianca} and \textit{A. Kombargi}, Nonlinear Stud. 24, No. 4, 935--944 (2017; Zbl 1386.91178) Full Text: Link
Dang, Duy-Minh; Jackson, Kenneth R.; Sues, Scott A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models. (English) Zbl 1398.91669 Appl. Math. Finance 24, No. 3-4, 175-215 (2017). MSC: 91G60 91G20 60J75 35R09 65C05 PDFBibTeX XMLCite \textit{D.-M. Dang} et al., Appl. Math. Finance 24, No. 3--4, 175--215 (2017; Zbl 1398.91669) Full Text: DOI
Belkina, T. A.; Konyukhova, N. B.; Slavko, B. V. Analytic-numerical investigations of singular problems for survival probability in the dual risk model with simple investment strategies. (English) Zbl 1407.91134 Rykov, Vladimir V. (ed.) et al., Analytical and computational methods in probability theory. First international conference, ACMPT 2017, Moscow, Russia, October 23–27, 2017. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 10684, 236-250 (2017). MSC: 91B30 45F15 PDFBibTeX XMLCite \textit{T. A. Belkina} et al., Lect. Notes Comput. Sci. 10684, 236--250 (2017; Zbl 1407.91134) Full Text: DOI
Ragulina, Olena The risk model with stochastic premiums, dependence and a threshold dividend strategy. (English) Zbl 1410.91284 Mod. Stoch., Theory Appl. 4, No. 4, 315-351 (2017). MSC: 91B30 60G55 62P05 35R09 PDFBibTeX XMLCite \textit{O. Ragulina}, Mod. Stoch., Theory Appl. 4, No. 4, 315--351 (2017; Zbl 1410.91284) Full Text: DOI arXiv
Zhang, Zhimin; Liu, Chaolin Moments of discounted dividend payments in a risk model with randomized dividend-decision times. (English) Zbl 1405.91269 Front. Math. China 12, No. 2, 493-513 (2017). MSC: 91B30 45K05 60J70 PDFBibTeX XMLCite \textit{Z. Zhang} and \textit{C. Liu}, Front. Math. China 12, No. 2, 493--513 (2017; Zbl 1405.91269) Full Text: DOI
Kang, Junjun; Tang, Yanbin Value function regularity in option pricing problems under a pure jump model. (English) Zbl 1406.91445 Appl. Math. Optim. 76, No. 2, 303-321 (2017). MSC: 91G20 45K05 49L25 60G51 60J75 91G80 47F05 60G40 PDFBibTeX XMLCite \textit{J. Kang} and \textit{Y. Tang}, Appl. Math. Optim. 76, No. 2, 303--321 (2017; Zbl 1406.91445) Full Text: DOI
Xie, Jie-Hua; Zou, Wei Dividend barrier and ruin problems for a risk model with delayed claims. (English) Zbl 1371.60121 Commun. Stat., Theory Methods 46, No. 14, 7063-7084 (2017). MSC: 60H30 60H10 91G80 62P05 PDFBibTeX XMLCite \textit{J.-H. Xie} and \textit{W. Zou}, Commun. Stat., Theory Methods 46, No. 14, 7063--7084 (2017; Zbl 1371.60121) Full Text: DOI
Lachowicz, Mirosław; Leszczyński, Henryk; Parisot, Martin Blow-up and global existence for a kinetic equation of swarm formation. (English) Zbl 1367.35046 Math. Models Methods Appl. Sci. 27, No. 6, 1153-1175 (2017). MSC: 35B44 35R09 45K05 35Q91 35Q20 35B40 91B70 PDFBibTeX XMLCite \textit{M. Lachowicz} et al., Math. Models Methods Appl. Sci. 27, No. 6, 1153--1175 (2017; Zbl 1367.35046) Full Text: DOI
Aydogmus, Ozgur; Zhou, Wen; Kang, Yun On the preservation of cooperation in two-strategy games with nonlocal interactions. (English) Zbl 1361.92056 Math. Biosci. 285, 25-42 (2017). MSC: 92D25 91A22 92D15 PDFBibTeX XMLCite \textit{O. Aydogmus} et al., Math. Biosci. 285, 25--42 (2017; Zbl 1361.92056) Full Text: DOI
Itkin, Andrey Pricing derivatives under Lévy models. Modern finite-difference and pseudo-differential operators approach. (English) Zbl 1419.91002 Pseudo-Differential Operators. Theory and Applications 12. Basel: Birkhäuser/Springer (ISBN 978-1-4939-6790-2/pbk; 978-1-4939-6792-6/ebook). xx, 308 p. (2017). Reviewer: Christopher Policastro (Berkeley) MSC: 91-01 91G60 91G20 65M06 35S05 60G51 60J75 60H35 PDFBibTeX XMLCite \textit{A. Itkin}, Pricing derivatives under Lévy models. Modern finite-difference and pseudo-differential operators approach. Basel: Birkhäuser/Springer (2017; Zbl 1419.91002) Full Text: DOI
Tang, Wenguang; Chang, Shuhua A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion. (English) Zbl 1443.91300 Comput. Math. Appl. 71, No. 5, 1045-1058 (2016). MSC: 91G20 45K05 65M06 91G60 PDFBibTeX XMLCite \textit{W. Tang} and \textit{S. Chang}, Comput. Math. Appl. 71, No. 5, 1045--1058 (2016; Zbl 1443.91300) Full Text: DOI
Dang, Duy-Minh; Nguyen, Duy; Sewell, Granville Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. (English) Zbl 1443.65199 Comput. Math. Appl. 71, No. 1, 443-458 (2016). MSC: 65M60 45K05 91G20 91G60 PDFBibTeX XMLCite \textit{D.-M. Dang} et al., Comput. Math. Appl. 71, No. 1, 443--458 (2016; Zbl 1443.65199) Full Text: DOI
Matsumoto, Akio; Szidarovszky, Ferenc Delay dynamics in a classical IS-LM model with tax collections. (English) Zbl 1420.91341 Metroeconomica 67, No. 4, 667-697 (2016). MSC: 91B64 34C23 45J05 PDFBibTeX XMLCite \textit{A. Matsumoto} and \textit{F. Szidarovszky}, Metroeconomica 67, No. 4, 667--697 (2016; Zbl 1420.91341) Full Text: DOI
Jiang, Wuyuan; Yang, Zhaojun The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula. (English) Zbl 1401.91149 Scand. Actuar. J. 2016, No. 5, 385-397 (2016). MSC: 91B30 62E15 62P05 60K05 45J05 44A10 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{Z. Yang}, Scand. Actuar. J. 2016, No. 5, 385--397 (2016; Zbl 1401.91149) Full Text: DOI
Berestyki, H.; Rodríguez, N. Analysis of a heterogeneous model for riot dynamics: the effect of censorship of information. (English) Zbl 1408.91172 Eur. J. Appl. Math. 27, No. 3, 554-582 (2016). MSC: 91D25 35K57 35C07 PDFBibTeX XMLCite \textit{H. Berestyki} and \textit{N. Rodríguez}, Eur. J. Appl. Math. 27, No. 3, 554--582 (2016; Zbl 1408.91172) Full Text: DOI
Han, Shuxin; Zhang, Xingkuan The expected discounted penalty function of thinning risk models with barrier dividend. (Chinese. English summary) Zbl 1374.91039 Acta Sci. Nat. Univ. Nankaiensis 49, No. 5, 92-101 (2016). MSC: 91B30 60K10 45J05 PDFBibTeX XMLCite \textit{S. Han} and \textit{X. Zhang}, Acta Sci. Nat. Univ. Nankaiensis 49, No. 5, 92--101 (2016; Zbl 1374.91039)
Anyanwu, Michael C.; Kalu, Georgina O. On pricing European call option on exponential Lévy model with jumps in interest rate. (English) Zbl 1357.91045 Int. J. Appl. Math. 29, No. 2, 219-226 (2016). MSC: 91G20 60H30 60H10 60G51 60J75 PDFBibTeX XMLCite \textit{M. C. Anyanwu} and \textit{G. O. Kalu}, Int. J. Appl. Math. 29, No. 2, 219--226 (2016; Zbl 1357.91045) Full Text: DOI
Belkina, T.; Kabanov, Yu. Viscosity solutions of integro-differential equations for nonruin probabilities. (English. Russian original) Zbl 1415.91150 Theory Probab. Appl. 60, No. 4, 671-679 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 802-810 (2015). MSC: 91B30 45K05 60G51 49L25 PDFBibTeX XMLCite \textit{T. Belkina} and \textit{Yu. Kabanov}, Theory Probab. Appl. 60, No. 4, 671--679 (2016; Zbl 1415.91150); translation from Teor. Veroyatn. Primen. 60, No. 4, 802--810 (2015) Full Text: DOI
Glau, Kathrin A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. (English) Zbl 1355.60060 Finance Stoch. 20, No. 4, 1021-1059 (2016). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60H30 35R09 35S10 47G30 47G20 65M60 65M06 91G80 91G60 PDFBibTeX XMLCite \textit{K. Glau}, Finance Stoch. 20, No. 4, 1021--1059 (2016; Zbl 1355.60060) Full Text: DOI arXiv
Ha, Taeyoung; Kim, Myoungnyoun; Lee, Kiseop Comparison of numerical methods on pricing equations with non-Lévy jumps. (English) Zbl 1349.91307 J. Appl. Math. Comput. 52, No. 1-2, 87-99 (2016). MSC: 91G60 65L12 65C30 60H15 35R09 91G20 PDFBibTeX XMLCite \textit{T. Ha} et al., J. Appl. Math. Comput. 52, No. 1--2, 87--99 (2016; Zbl 1349.91307) Full Text: DOI
Mikhailov, A. P.; Gorbatikov, E. A. Anticorruptional strategies analysis in the modified “power-society” model. (Russian. English summary) Zbl 1363.91068 Mat. Model. 28, No. 5, 47-68 (2016). MSC: 91D10 91D30 PDFBibTeX XMLCite \textit{A. P. Mikhailov} and \textit{E. A. Gorbatikov}, Mat. Model. 28, No. 5, 47--68 (2016; Zbl 1363.91068) Full Text: MNR
De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel Consumption-investment problem with transaction costs for Lévy-driven price processes. (English) Zbl 1346.60101 Finance Stoch. 20, No. 3, 705-740 (2016). MSC: 60H30 60H10 60H20 49J55 49L20 49L25 93E20 60G51 60G44 91G80 PDFBibTeX XMLCite \textit{D. De Vallière} et al., Finance Stoch. 20, No. 3, 705--740 (2016; Zbl 1346.60101) Full Text: DOI arXiv
Zhang, Xia; Zhang, Binlin; Xiang, Mingqi Ground states for fractional Schrödinger equations involving a critical nonlinearity. (English) Zbl 1346.35224 Adv. Nonlinear Anal. 5, No. 3, 293-314 (2016). MSC: 35R11 35A15 47G20 91A80 91B55 PDFBibTeX XMLCite \textit{X. Zhang} et al., Adv. Nonlinear Anal. 5, No. 3, 293--314 (2016; Zbl 1346.35224) Full Text: DOI
Pokojovy, Michael; Skvarkovskyi, Yevhenii Analysis and numerics for an age- and sex-structured population model. (English) Zbl 1335.92083 Numer. Methods Partial Differ. Equations 32, No. 2, 706-736 (2016). MSC: 92D25 91D20 PDFBibTeX XMLCite \textit{M. Pokojovy} and \textit{Y. Skvarkovskyi}, Numer. Methods Partial Differ. Equations 32, No. 2, 706--736 (2016; Zbl 1335.92083) Full Text: DOI arXiv
Marciniak, Ewa; Palmowski, Zbigniew On the optimal dividend problem for insurance risk models with surplus-dependent premiums. (English) Zbl 1344.49029 J. Optim. Theory Appl. 168, No. 2, 723-742 (2016). MSC: 49J55 49K45 93E20 60H30 60H10 60G51 49L99 60G50 91B30 PDFBibTeX XMLCite \textit{E. Marciniak} and \textit{Z. Palmowski}, J. Optim. Theory Appl. 168, No. 2, 723--742 (2016; Zbl 1344.49029) Full Text: DOI arXiv
Fakharany, M.; Company, R.; Jódar, L. Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes. (English) Zbl 1342.91041 J. Comput. Appl. Math. 296, 739-752 (2016). MSC: 91G60 65M06 45K05 91G20 PDFBibTeX XMLCite \textit{M. Fakharany} et al., J. Comput. Appl. Math. 296, 739--752 (2016; Zbl 1342.91041) Full Text: DOI
Song, Rui; Li, Wangbo Integro-differential equations for option prices in Markov switching exponential Lévy models. (English) Zbl 1363.91114 Chin. J. Appl. Probab. Stat. 31, No. 5, 483-492 (2015). MSC: 91G20 45K05 60G51 60J27 PDFBibTeX XMLCite \textit{R. Song} and \textit{W. Li}, Chin. J. Appl. Probab. Stat. 31, No. 5, 483--492 (2015; Zbl 1363.91114) Full Text: DOI
Kadalbajoo, Mohan K.; Kumar, Alpesh; Tripathi, Lok Pati An efficient numerical method for pricing option under jump diffusion model. (English) Zbl 1342.91042 Int. J. Adv. Eng. Sci. Appl. Math. 7, No. 3, 114-123 (2015). MSC: 91G60 91G20 65M06 45K05 65M12 PDFBibTeX XMLCite \textit{M. K. Kadalbajoo} et al., Int. J. Adv. Eng. Sci. Appl. Math. 7, No. 3, 114--123 (2015; Zbl 1342.91042) Full Text: DOI
Zhou, Zhongbao; Xiao, Helu; Deng, Yingchun Markov-dependent risk model with multi-layer dividend strategy. (English) Zbl 1338.91082 Appl. Math. Comput. 252, 273-286 (2015). MSC: 91B30 45J05 60K10 62M05 PDFBibTeX XMLCite \textit{Z. Zhou} et al., Appl. Math. Comput. 252, 273--286 (2015; Zbl 1338.91082) Full Text: DOI
Jin, Zhuo; Qian, Linyi Lookback option pricing for regime-switching jump diffusion models. (English) Zbl 1347.91234 Math. Control Relat. Fields 5, No. 2, 237-258 (2015). MSC: 91G60 65C05 65C40 60J75 91G20 PDFBibTeX XMLCite \textit{Z. Jin} and \textit{L. Qian}, Math. Control Relat. Fields 5, No. 2, 237--258 (2015; Zbl 1347.91234) Full Text: DOI
Chandra, Sudip Ratan; Mukherjee, Diganta; SenGupta, Indranil PIDE and solution related to pricing of Lévy driven arithmetic type floating Asian options. (English) Zbl 1335.91078 Stochastic Anal. Appl. 33, No. 4, 630-652 (2015). MSC: 91G20 60G51 35R09 35Q91 91G60 91G80 PDFBibTeX XMLCite \textit{S. R. Chandra} et al., Stochastic Anal. Appl. 33, No. 4, 630--652 (2015; Zbl 1335.91078) Full Text: DOI
Fodra, Pietro; Pham, Huyên High frequency trading and asymptotics for small risk aversion in a Markov renewal model. (English) Zbl 1336.60172 SIAM J. Financ. Math. 6, 656-684 (2015). MSC: 60K15 60J75 91G80 93E20 49J55 45J05 PDFBibTeX XMLCite \textit{P. Fodra} and \textit{H. Pham}, SIAM J. Financ. Math. 6, 656--684 (2015; Zbl 1336.60172) Full Text: DOI arXiv
Jeong, Darae; Kim, Young Rock; Lee, Seunggyu; Choi, Yongho; Lee, Woong-Ki; Shin, Jae-Man; An, Hyo-Rim; Hwang, Hyeongseok; Kim, Junseok A fast and robust numerical method for option prices and Greeks in a jump-diffusion model. (English) Zbl 1322.65118 J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 22, No. 2, 159-168 (2015). MSC: 65R20 45K05 91G20 91G60 91G80 PDFBibTeX XMLCite \textit{D. Jeong} et al., J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 22, No. 2, 159--168 (2015; Zbl 1322.65118) Full Text: DOI
Bentata, Amel; Cont, Rama Forward equations for option prices in semimartingale models. (English) Zbl 1325.60115 Finance Stoch. 19, No. 3, 617-651 (2015). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H30 35R09 60H10 91G80 91G20 60G48 60J75 35S10 PDFBibTeX XMLCite \textit{A. Bentata} and \textit{R. Cont}, Finance Stoch. 19, No. 3, 617--651 (2015; Zbl 1325.60115) Full Text: DOI arXiv
Wang, Wei The perturbed Sparre Andersen model with interest and a threshold dividend strategy. (English) Zbl 1334.60127 Methodol. Comput. Appl. Probab. 17, No. 2, 251-283 (2015). MSC: 60H30 60H10 60J60 60K10 60K05 91B30 35R09 PDFBibTeX XMLCite \textit{W. Wang}, Methodol. Comput. Appl. Probab. 17, No. 2, 251--283 (2015; Zbl 1334.60127) Full Text: DOI
Tupper, P. F. Exemplar dynamics and sound merger in language. (English) Zbl 1320.91130 SIAM J. Appl. Math. 75, No. 4, 1469-1492 (2015). MSC: 91F20 91E40 35R09 35Q91 PDFBibTeX XMLCite \textit{P. F. Tupper}, SIAM J. Appl. Math. 75, No. 4, 1469--1492 (2015; Zbl 1320.91130) Full Text: DOI arXiv
Rodríguez, Nancy On an integro-differential model for pest control in a heterogeneous environment. (English) Zbl 1345.92166 J. Math. Biol. 70, No. 5, 1177-1206 (2015). MSC: 92D40 91B76 35R09 PDFBibTeX XMLCite \textit{N. Rodríguez}, J. Math. Biol. 70, No. 5, 1177--1206 (2015; Zbl 1345.92166) Full Text: DOI
Matoussi, Anis; Sabbagh, Wissal; Zhou, Chao The obstacle problem for semilinear parabolic partial integro-differential equations. (English) Zbl 1322.60132 Stoch. Dyn. 15, No. 1, Article ID 1550007, 38 p. (2015). MSC: 60H30 60H15 60H10 60J60 60J75 60G46 35R09 35R60 91G10 91G80 PDFBibTeX XMLCite \textit{A. Matoussi} et al., Stoch. Dyn. 15, No. 1, Article ID 1550007, 38 p. (2015; Zbl 1322.60132) Full Text: DOI arXiv
Hepperger, Peter Low-dimensional partial integro-differential equations for high-dimensional Asian options. (English) Zbl 1418.91518 Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 331-348 (2014). MSC: 91G20 35R09 60J75 91G80 PDFBibTeX XMLCite \textit{P. Hepperger}, in: Inspired by finance. The Musiela Festschrift. Cham: Springer. 331--348 (2014; Zbl 1418.91518) Full Text: DOI
Brummelhuis, Raymond; Chan, Ron T. L. A radial basis function scheme for option pricing in exponential Lévy models. (English) Zbl 1395.91433 Appl. Math. Finance 21, No. 3-4, 238-269 (2014). MSC: 91G20 60G51 35Q91 60G40 PDFBibTeX XMLCite \textit{R. Brummelhuis} and \textit{R. T. L. Chan}, Appl. Math. Finance 21, No. 3--4, 238--269 (2014; Zbl 1395.91433) Full Text: DOI
Kondratev, Aleksei Y. Stationary state in a multistage auction model. (English) Zbl 1347.91158 Petrosyan, Leon A. (ed.) et al., Contributions to game theory and management. Volume VII. The 7th international conference on game theory and management (GTM 2013), St. Petersburg, Russia, June 26–28, 2013. Collected papers. St. Petersburg: Graduate School of Management, St. Petersburg State University. 151-158 (2014). MSC: 91B26 91A20 91A10 PDFBibTeX XMLCite \textit{A. Y. Kondratev}, in: Contributions to game theory and management. Volume VII. The 7th international conference on game theory and management (GTM 2013), St. Petersburg, Russia, June 26--28, 2013. Collected papers. St. Petersburg: Graduate School of Management, St. Petersburg State University. 151--158 (2014; Zbl 1347.91158) Full Text: MNR
Fakharany, M.; Company, R.; Jódar, L. Positive finite difference schemes for a partial integro-differential option pricing model. (English) Zbl 1338.91152 Appl. Math. Comput. 249, 320-332 (2014). MSC: 91G60 65M06 45K05 65M12 91G20 35Q91 PDFBibTeX XMLCite \textit{M. Fakharany} et al., Appl. Math. Comput. 249, 320--332 (2014; Zbl 1338.91152) Full Text: DOI Link