Here is another paper which might be of interest http://xxx.lanl.gov/abs/cond-mat/0108137Regards

This might be of use. It uses information on exact solutions to improve your grid.Tradable scheme

You might have a look at some of these articlesWe use symmetries to derive BS etc in a very clean way, no martingales just tradeables etc.From a physicist's point of view much nicer :-)Jiri