Guys,
sorry I just returned from hols. Will need a bit to catch up on all your
emails.
wpe
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Tuesday, October 12, 2004 2:29 PM
To: Penschke, Walter
Cc:
[hidden email]
Subject: Re: [Quantlib-users] FiniteDifferences framework: composition
of L including S
On 2004.10.11 17:09, Daniel J. Duffy wrote:
> Do you know that this centred difference scheme gives terrible
> approximations to the delta and gamma at the strike price? See the
> references below.
Oh, and Walter: just so that you're not left outside alone, the calculation
I sketched can still be used as an example of how to discretize your
equation--albeit with an unstable scheme. You can follow the same steps
while using more stable differential operators instead of D0 and D+D-.
Later,
Luigi
Locked
