Qianshun Chang, Boling Guo, Hong Jiang, Finite Difference Method for Generalized Zakharov Equations, Mathematics of Computation, Vol. 64, No. 210 (Apr., 1995), pp ...

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 ...

Technical Terms Finite-Difference Time-Domain (FDTD): A numerical method for solving partial differential equations, notably Maxwell’s equations, by discretising both time and spatial domains.

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 ...