We demonstrate that the use of asymptotic expansion as prior knowledge in the “deep BSDE
solver”, which is a deep learning method for high dimensional BSDEs proposed by Weinan …

This paper analyses the robustness of Least-Squares Monte Carlo, a technique proposed by
Longstaff and Schwartz (2001) for pricing American options. This method is based on least …

In this paper, we investigate the pricing problem of barrier options under the Heston model.
We innovatively develop a two-step solution process and present an analytical …

The American put is one of the oldest problems in mathematical finance. We review the
development of the relevant literature over the last 40years. Today the mainstream …

This paper proposes an alternative characterization of the early exercise premium that is
valid for any Markovian and diffusion underlying price process as well as for any …

We establish the C∞ regularity of the free boundary for an American option on several
assets in the case where the payoff is convex and the assets follow correlated geometric …

A comprehensive overview of trading and risk management in the energy markets Energy
Trading and Risk Management provides a comprehensive overview of global energy …

We extend a framework based on Mellin transforms and show how to modify the approach to
value American call options on dividend-paying stocks. We present a new integral equation …

This paper provides a general framework for pricing options with a constant barrier under
spectrally one-sided exponential Lévy model, and uses it to implement of Carr's …

We develop a new high-performance spectral collocation method for the computation of
American put and call option prices. The proposed algorithm involves a carefully posed …