This is a preview. Log in through your library . Abstract A finite difference method is developed for solving symmetric positive differential equations in the sense of Friedrichs. The method is ...
This paper is concerned with numerical methods for a class of two-dimensional quasilinear elliptic boundary value problems. A compact finite difference method with a nonisotropic mesh is proposed for ...
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 ...
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