Ordinary differential equations (ODEs) and difference equations serve as complementary tools in the mathematical modelling of processes evolving in continuous and discrete time respectively. Together ...

Heun functions, which generalise the well‐known hypergeometric functions, are solutions to the Heun differential equation – a second‐order linear differential equation with four regular singular ...

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In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as path dependent options with multiple ...