JohnLeM,
Here an article on applying exponential fitting to a range of PDEs,
Authors
Le Floc'h
Publication date
2016
Journal
Available at SSRN 2711720
Description
This paper explores nine ways to apply exponential fitting methods to the Black-Scholes PDE. In particular, we will see that many ways lead to undesirable side-effects.
Scholar articles
Pitfalls of Exponential Fitting on the Black-Scholes PDE
L Floc'h - Available at SSRN 2711720, 2016
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The discussion around gamma is not a problem with fitting but using centred differences to compute gamma is weak. Gamma has its own PDE.
Maybe some reading for the weekend, as I suppose Boulevard San Michel is closed(?)