In this paper, we study a hybrid tree/finite-difference method, which allows us to obtain efficient and accurate European and American option prices in the Heston–Hull–White and Heston–Hull–White2d ...
This paper presents a simple but effective and efficient approach to improve the accuracy and stability of the least-squares Monte Carlo method. The key idea is to construct an ansatz for the ...
Finite-Difference Time-Domain (FDTD) methods have long served as a workhorse for simulating electromagnetic wave propagation. In dispersive media, where material responses vary with frequency, the ...
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