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 ...

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 ...

We develop a framework for applying high-order finite element methods to singularly-perturbed elliptic and parabolic differential systems that utilizes special quadrature rules to confine spurious ...