2 papers
q-fin.CP2025
A monotone piecewise constant control integration approach for the two-factor uncertain volatility model
Duy-Minh Dang, Hao Zhou
Option contracts on two underlying assets within uncertain volatility models have their worst-case and best-case prices determined by a two-dimensional (2D) Hamilton-Jacobi-Bellman…
q-fin.CP2025
Numerical analysis of American option pricing in a two-asset jump-diffusion model
Hao Zhou, Duy-Minh Dang
This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution fr…