A new algorithm, which is based on the splitting-step idea and the penalization method, for reflected stochastic differential equation (RSDE) in the upper half-space R¹<sub >+</sub> is presented in this paper. After some important estimates about RSDEs and penalization ODEs are obtained, the local pathwise...

The value of a contingent claim under a jump-diffusion process satisfies a partial integro-differential equation (PIDE). We localize and discretize this PIDE in space by the central difference formula and in time by the second order backward differentiation formula. The resulting system Tnx = b...

We introduce the definition of a family of generating functions (FGF) of Toeplitz matrices, which is a generalization of the generating function of Toeplitz matrix. The FGF has an important application in pricing derivatives. The pricing of a European call option leads under certain assumptions...

We consider option pricing problems in the stochastic volatility jump diffusion model with correlated and contemporaneous jumps in both the return and the variance processes (SVCJ). The option value function solves a partial integro-differential equation (PIDE). We discretize this PIDE in space...

"Given the popular belief that China's comparative advantage is its low labour cost, The Source of Innovation in China argues that the fundamental source for Chinese economic growth is its innovation. Based on qualitative case studies and quantitative surveys of 600 firms, this research...