We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...

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 ...

In this paper, a family of new finite difference (NFD) methods for solving the convection-diffusion equation with singularly perturbed parameters are considered. By taking account of infinite terms in ...