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MOC
2010
13 years 5 months ago
Convergence analysis of the Jacobi spectral-collocation methods for Volterra integral equations with a weakly singular kernel
In this paper, a Jacobi-collocation spectral method is developed for Volterra integral equations of the second kind with a weakly singular kernel. We use some function transformati...
Yanping Chen, Tao Tang
FS
2010
105views more  FS 2010»
13 years 9 months ago
Local time and the pricing of time-dependent barrier options
Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...
Aleksandar Mijatovic
PE
2008
Springer
173views Optimization» more  PE 2008»
13 years 10 months ago
M/G/1 queue with deterministic reneging times
We consider single-server and multi-server queues with deterministic reneging times motivated by the timeout mechanisms used in application servers.. A Volterra integral equation ...
Wei Xiong, David L. Jagerman, Tayfur Altiok