We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. 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 ...
SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 (13 pages) An explicit finite difference algorithm is developed to approximate the solution of a nonlinear and nonlocal ...
Based on multiplicative calculus, the finite difference schemes for the numerical solution of multiplicative differential equations and Volterra differential equations are presented. Sample problems ...
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