This project revisits the Black–Scholes equation and explores its numerical resolution using finite-difference schemes. We implement and compare explicit and implicit methods, assess their accuracy ...

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Abstract: A method for trimming surfaces generated as solutions to partial differential equations (PDE) is presented. First we can use the finite difference method to calculate the PDE surface mesh ...

Abstract: In this article, we present a novel method to extend the Finite-Element-Analysis concept of Matlab's Partial-Differential-Equation (PDE) Toolbox to perform the stress calculation for any ...

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 ...

Compared to the conventional high-order staggered-grid finite-difference method (C-SFD), the time–space domain dispersion-relation-based high-order staggered-grid finite-difference method (TS-SFD) can ...