This paper suggests a modification to the explicit finite difference method for valuing derivative securities. The modification ensures that, as smaller time intervals are considered, the calculated ...

[1] An alternating-direction hybrid implicit-explicit finite-difference time-domain method for the Schrödinger equation. Journal of Computational and Applied Mathematics (2022).

The explicit-jump immersed interface method (EJIIM) was developed following Li's fast iterative immersed interface method (FIIIM), recognizing that the foundation for the efficient solution of many ...

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 ...