We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...

First-order derivatives: n additional function calls are needed. Second-order derivatives based on gradient calls, when the "grd" module is specified (Dennis and Schnabel 1983): n additional gradient ...

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 ...

An in-house DNS code [1,2] has been developed and is being using for the simulations. Various unsteady flows (periodic / non-periodic) can be studied by the code. A standard second order finite ...