We study the problem of the optimal pricing and hedging of a European option written on an illiquid asset Z using a set of proxies: a liquid asset S, and N liquid European options Pi, each written on a liquid asset Yi, i = 1, N. We assume that the S-hedge is dynamic while the multi-name Y-hedge...

The numerical simulation of coupled nonlinear Schrödinger equations on unbounded domains is considered in this paper. By using the operator splitting technique, the original problem is decomposed into linear and nonlinear subproblems in a small time step. The linear subproblem turns out to be...