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 ...

This is a preview. Log in through your library . Abstract Finite-difference versions of some recently developed Krylov subspace projection methods are presented and analysed in the context of solving ...

This paper is concerned with numerical methods for a class of two-dimensional quasilinear elliptic boundary value problems. A compact finite difference method with a nonisotropic mesh is proposed for ...