Land valuation using a real option approach.
Large investor trading impacts on volatility
Linear filtering of systems with memory and application to finance.
Local likelihood density estimation and value-at-risk.
Local volatility in the Heston model: a Malliavin calculus approach.
Low Volatility Options and Numerical Diffusion of Finite Difference Schemes
2000 Mathematics Subject Classification: 65M06, 65M12.In this paper we explore the numerical diffusion introduced by two nonstandard finite difference schemes applied to the Black-Scholes partial differential equation for pricing discontinuous payoff and low volatility options. Discontinuities in the initial conditions require applying nonstandard non-oscillating finite difference schemes such as the exponentially fitted finite difference schemes suggested by D. Duffy and the Crank-Nicolson variant...