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q-fin.CP2024
American option pricing using generalised stochastic hybrid systems
Evelyn Buckwar, Sascha Desmettre, Agnes Mallinger +1
This paper presents a novel approach to pricing American options using piecewise diffusion Markov processes (PDifMPs), a type of generalised stochastic hybrid system that integrate…
math.NA2024
Numerical Approximations and Convergence Analysis of Piecewise Diffusion Markov Processes, with Application to Glioma Cell Migration
Evelyn Buckwar, Amira Meddah
In this paper, we focus on numerical approximations of Piecewise Diffusion Markov Processes (PDifMPs), particularly when the explicit flow maps are unavailable. Our approach is bas…