In this paper we consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class ...
The equiangular spiral is an example of a simple but fascinating scalar exponential function. The author explains how the scalar exponential can be extended to the multidimensional matrix case to ...
We propose a new, unified approach to solving jump-diffusion partial integrodifferential equations (PIDEs), which often appear in mathematical finance. Our method consists of the following steps.
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