Abstract. We show how computations such as those involved in American or European-style option price valuations with the explicit finite difference method can be performed in par...
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...
Computational database technology spans the two research fields data-base technology and scientific computing. It involves development of database capabilities that support compu...
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...