This paper suggests a modification to the explicit finite difference method for valuing derivative securities. The modification ensures that, as smaller time intervals are considered, the calculated ...

The explicit-jump immersed interface method (EJIIM) was developed following Li's fast iterative immersed interface method (FIIIM), recognizing that the foundation for the efficient solution of many ...

Research from all publishers Recent studies have focused on enhancing finite difference schemes by incorporating high-order mimetic operators and curved grid techniques. For example, improvements ...