Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are more competitive than alternative ...
The valuation of European options under the Heston model (or any other stochastic volatility model where the characteristic function is analytically known) involves the computation of a Fourier ...
Quadrature Element Methods (QEM) integrate variational principles with high‐order numerical quadrature to solve vibration eigenproblems with enhanced accuracy and efficiency. In these formulations, ...
Davidian and Giltinan (1995) and Vonesh and Chinchilli (1997) provide good overviews as well as general theoretical developments and examples of nonlinear mixed models. Pinheiro and Bates (1995) is a ...
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