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.
Results that may be inaccessible to you are currently showing.
Hide inaccessible results
Feedback