The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...

Stabilized or Chebyshev explicit methods have been widely used in the past to solve stiff ordinary differential equations. Making use of special properties of Chebyshev-like polynomials, these methods ...

This is a preview. Log in through your library . Abstract In this paper, we introduce a new theoretical framework built upon fractional Sobolev-type spaces involving ...