In this paper, a family of new finite difference (NFD) methods for solving the convection-diffusion equation with singularly perturbed parameters are considered. By taking account of infinite terms in ...

It is benchmarked against Monte Carlo simulation in the presence of a volatility skew and is shown to provide extremely accurate values for a variance swap. Our method is based on decomposing the ...

Research from all publishers Recent studies have focused on enhancing finite difference schemes by incorporating high-order mimetic operators and curved grid techniques. For example, improvements ...

Finite-difference versions of some recently developed Krylov subspace projection methods are presented and analysed in the context of solving systems of nonlinear equations using Inexact-Newton ...