We consider the application of finite-difference methods to the numerical solution of boundary-value problems. In particular we are concerned to study the feasibility and convergence of the difference ...

Finite-difference approximations for the first derivative, valid halfway between equidistant gridpoints, are in general much more accurate than the corresponding approximations, which are valid at ...

The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...

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 ...