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 ...
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 ...
In the current low rates environment, the classic stochastic alpha beta rho (SABR) formula used to compute option-implied volatilities leads to arbitrages. In "Arbitrage free SABR", Hagan et al ...
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 ...
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 ...
CATALOG DESCRIPTION: Introduction to the finite-difference time-domain (FDTD) method in numerical modeling of electromagnetic and optical wave interactions with engineering structures. Topics: finite ...
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 ...
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