In this paper, we consider the valuation of European and path-dependent options in foreign exchange markets when the currency exchange rate evolves according to the Heston model combined with the ...

In this report, we use the complex-step derivative approximation technique to compute sensitivities for delay differential equations (DDEs) with non-smooth (discontinuous and even distributional) ...

This is a preview. Log in through your library . Abstract This article considers estimation of constant and time-varying coefficients in nonlinear ordinary differential equation (ODE) models where ...