Peter Austing shows how to set up finite difference solvers to exactly recover the prices of all vanilla options on the grid. The approach leads to a specific discretisation of Dupire’s formula. It ...
This file implements a finite difference/finite volume scheme solving the PDE: \begin{align} \partial_t u(x,t) + \partial_x f(u(x,t)) &= 0 & \text{in }&\Omega\times[0 ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback