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 ...

Directional Chebyshev constants and transfinite diameter are defined for compact subsets of a complex algebraic curve in ℂ2. Given such a compact subset K, a formula equating the geometric mean of the ...