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 ...

SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 (13 pages) An explicit finite difference algorithm is developed to approximate the solution of a nonlinear and nonlocal ...

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 ...

An error analysis of approximation of deltas (derivatives of the solution to the Cauchy problem for parabolic equations) by finite differences is given, taking into ...