Computing derivatives by finite-difference approximations can be very time consuming, especially for second-order derivatives based only on values of the objective function (FD= option). If analytical ...

In this paper we are concerned with the pricing of lookback options with American type constrains. Based on the differential linear complementary formula associated with the pricing problem, an ...

A schema combining a finite difference approach in the time direction and a spectral method in the space direction is proposed and analyzed. The main contribution of this work is threefold: 1) We ...

This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of ...

Computing derivatives by finite difference approximations can be very time consuming, especially for second-order derivatives based only on values of the objective function (FD= option). If analytical ...