activity
20122022
most citedA Novel Model Order Reduction Approach for Navier-Stokes Equations at High Reynolds Number

210 citations · 517 across the 10 of their papers we have counts for

collaborators
Showing 2016 · cs.CEShow all

1 paper · 2 filters

cs.CE2016

Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models

Maciej Balajewicz, Jari Toivanen

European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates mo…