We investigate numerical solution of nine difference approximations to American option pricing problems, using a novel direct numerical method |simplex solution of a linear programmingformulation. This approach is based on a new result extending to the parabolic case the equivalence between...

We investigate numerical valuation of cross-currency interest rate-based derivatives under Babbs' extended Vasicek-style model by numerical solution of the associated partial differential equation (PDE), in particular, we consider the terminable differential (diff) swap. Firstly we precisely...

The purpose of this paper is to present evidence in support of the hypothesis that fast, accurate and parametrically robust numerical valuation of a wide range of derivative securities can be achieved by use of direct numerical methods in the solution of the associated PDE problems....