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 ...

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 ...

Finite-difference versions of some recently developed Krylov subspace projection methods are presented and analysed in the context of solving systems of nonlinear equations using Inexact-Newton ...