The analysis of the finite difference schemes with nonuniform meshes for the problems of partial differential equations is extremely rare even for very simple problems and even for the method of fully ...

This is a preview. Log in through your library . Abstract A finite difference method is developed for solving symmetric positive differential equations in the sense of Friedrichs. The method is ...

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 ...

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