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 ...
Partial differential equations (PDE) describe the behavior of fluids, structures, heat transfer, wave propagation, and other physical phenomena of scientific and engineering interest. This course ...
A partial differential equation (PDE) is a mathematical equation that involves multiple independent variables, an unknown function that is dependent on those variables, and partial derivatives of the ...
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