Fourier analysis and numerical methods have long played a pivotal role in the solution of differential equations across science and engineering. By decomposing complex functions into sums of ...
The valuation of financial derivatives continues to evolve, with option pricing models remaining a cornerstone of modern quantitative finance. Traditional frameworks, such as the Black–Scholes model, ...
In this paper, we discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency ...
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