We derive a Hattendorff differential equation and a recursion governing the evolution of continuous and discrete time evolution respectively of the variance of the loss at time t random variable given that the state at time t is j, for a multistate Markov insurance model (denoted by 2σt(j)). We...

A family of Exponentially Fitted Block Backward Differentiation Formulas (EFBBDFs) whose coefficients depend on a parameter and step-size is developed and implemented on the Black-Scholes partial differential equation (PDE) for the valuation of options on a non-dividend-paying stock. Specific...

In this paper, the discrete schemes of extrapolated block Adams Moulton methods were obtained through the continuous formulation of the linear multistep collocation method by matrix inversion approach for the numerical solutions of first-order delay differential equations (DDEs) without the use...