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 ...
What Are FEM, FDM and FVM? FEM, FDM and FVM differ from one another in important ways. Understanding these distinctions is key to selecting the method most appropriate for your purposes. The ...
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