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Abstract: A method for trimming surfaces generated as solutions to partial differential equations (PDE) is presented. First we can use the finite difference method to calculate the PDE surface mesh ...

This project revisits the Black–Scholes equation and explores its numerical resolution using finite-difference schemes. We implement and compare explicit and implicit methods, assess their accuracy ...

Abstract: In this article, we present a novel method to extend the Finite-Element-Analysis concept of Matlab's Partial-Differential-Equation (PDE) Toolbox to perform the stress calculation for any ...

A partial differential equation (PDE) is a mathematical equation that involves multiple independent variables, an unknown function that is dependent on those variables, and partial derivatives of the ...

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 ...