We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...

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 ...

This is a preview. Log in through your library . Abstract A fully discrete finite difference scheme for dissipative Klein-Gordon-Schrödinger equations in three space dimensions is analyzed. On the ...

A new iterative method is presented for solving finite difference equations which approximate the steady Stokes equations. The method is an extension of successive-over-relaxation and has two ...