Suppose λ,x,ζ traverse the ordered sets Λ, X and Z, respectively and consider the functions f(λ,x,ζ) and g(λ,ζ) satisfying the following conditions, (a) f(λ,x,ζ) > 0 and f is TP2 in each pairs of variables when the third variable is held fixed and (b) g(λ,ζ) is TP2. Then the function h(λ,x) =∫Z f(λ,x,ζ)g(λ,ζ)dµ(ζ), defined on Λ×X is TP2 in (λ,x). The aim of this note is to use a new stochast...

In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given Markov model. We illustrate the method by implementing it for a range of models, including a local Lévy process and a local volatility jump-diffusion. We also pro...

In this paper, we will obtain first integral, integrating factor and λ-symmetry of third-order ODEs u ⃛=F(x,u,u ̇,u ̈). Also we compare Prelle -Singer (PS) method and λ-symmetry method for third-order differential equations.In this paper, we will obtain first integral, integrating factor and λ-symmetry of third-order ODEs u ⃛=F(x,u,u ̇,u ̈). Also we compare Prelle -Singer (PS) method and λ-symmetry m...