... way.0470858826c07 JWBK073-Duffy February 1, 2006 19:13 Char Count= 086 Finite Difference Methods in Financial Engineering7.4.1 Fully discrete schemesWe divide the interval [0, T] into N sub-intervals, defined ... JWBK073-Duffy February 1, 2006 19:48 Char Count= 098 Finite Difference Methods in Financial EngineeringWe thus eliminate the x dependency and this greatly simplifies matters. Continuing, wedefine ... SUMMARY AND CONCLUSIONSWe have summarised the main approximate schemes in this book by viewing them as appli-cations of a so-called semi-discretisation process: first discretise in time and then in...