A new iterative method is presented for solving finite difference equations which approximate the steady Stokes equations. The method is an extension of successive-over-relaxation and has two ...

Finite-difference approximations for the first derivative, valid halfway between equidistant gridpoints, are in general much more accurate than the corresponding approximations, which are valid at ...

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 ...