The purpose of this paper is to examine the scaling effect and overlapping problem in a route choice context using the logit-based stochastic user equilibrium (SUE) principle to explicitly account for the congestion effect. Numerical experiments are performed on nine models: the deterministic...

We incorporate a simple and effective control-variate into Fourier inversion formulas for vanilla option prices. The control-variate used in this paper is the Black-Scholes formula whose volatility parameter is determined in a generic non-arbitrary fashion. We analyze contour dependence both in...