In this paper we introduce a new fast and accurate numerical method for pricing exotic derivatives when discrete monitoring occurs, and the underlying evolves according to a Markov one-dimensional stochastic processes. The approach exploits the structure of the matrix arising from the numerical...

Earth mover's distance (EMD for short) is a perceptually meaningful dissimilarity measure between histograms. The computation of EMD reduces to a network flow optimization problem; however, it lays a heavy computational burden when the number of locations of histograms is large. In this paper,...