Research from all publishers Recent studies have focused on enhancing finite difference schemes by incorporating high-order mimetic operators and curved grid techniques. For example, improvements ...

Finite-difference approximations for the first derivative, valid halfway between equidistant gridpoints, are in general much more accurate than the corresponding approximations, which are valid at ...

In this paper, a family of new finite difference (NFD) methods for solving the convection-diffusion equation with singularly perturbed parameters are considered. By taking account of infinite terms in ...

A free-boundary formulation is considered for the price of American options under jump-diffusion models with finite jump activity. On the free boundary a Cauchy boundary condition holds, due to the ...

We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...