In this paper, we present a new efficient and robust framework for European option pricing under continuous-time asset models from the family of exponential semimartingale processes. We introduce ...

This is a preview. Log in through your library . SIAM Journal on Numerical Analysis contains research articles on the development and analysis of numerical methods ...

This example then specifies a smoothed spline interpolation method on the GRID statement. As shown by the following output, the resulting surface plot is smoother still. libname reflib ...

The existence of generalized perfect splines satisfying certain interpolation and/or moment conditions are established. In particular, the existence of ordinary perfect splines obeying boundary and ...