We propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average, such as Asian options and bond prices in the Dothan model. We show ...

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 ...

In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance. However, the idea ...

Approximation theory and asymptotic methods form a foundational framework that bridges classical ideas with modern numerical analysis, enabling researchers to obtain practical, near‐optimal solutions ...