Book of Donmon Teith

In this paper, we propose a hybrid Laplace transform and finite difference method to price (finite-maturity) American options, which is applicable to a wide var

The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this

From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used

Partial-integro differential formulations are often used for pricing American options under jump-diffusion models. A survey on such formulations and numerical m

From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-