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 ...

Proceedings of the National Academy of Sciences of the United States of America PNAS is the world's most-cited multidisciplinary scientific serial. It publishes high-impact research reports, ...

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 ...