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The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...
In this paper we are concerned with the pricing of lookback options with American type constrains. Based on the differential linear complementary formula associated with the pricing problem, an ...
SIAM Journal on Numerical Analysis, Vol. 34, No. 5 (Oct., 1997), pp. 1742-1760 (19 pages) We analyze three finite difference approximations of the nonlinear Klein-Gordon equation and show that they ...
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