TR-BDF2 finite differences scheme

[Fabien Le Floc'h-3]

Hello,

Attached is the source of a new FD scheme called TR-BDF2, that can be
used in quantlib. It is of similar precision as Crank-Nicolson but with
better stability properties (works well even with a few timesteps,
greeks don't blow up). I have verified the implementation with
EquityOption.cpp and dividendoption.cpp.

Here is a paper about it: http://ssrn.com/abstract=1648878

I tried to submit this to the sourceforge tracker, but for some reasons,
tracker fails to create a new entry.

Regards,

Fabien Le Floc'h.

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[Luigi Ballabio]

Hello Fabien,
        apologies for the delay.  I'll have a look at your code as soon as I
get some time.

Thanks,
        Luigi


On Mon, 2011-02-28 at 12:02 +0100, Fabien Le Floc'h wrote:

> Hello,
>
> Attached is the source of a new FD scheme called TR-BDF2, that can be
> used in quantlib. It is of similar precision as Crank-Nicolson but with
> better stability properties (works well even with a few timesteps,
> greeks don't blow up). I have verified the implementation with
> EquityOption.cpp and dividendoption.cpp.
>
> Here is a paper about it: http://ssrn.com/abstract=1648878
>
> I tried to submit this to the sourceforge tracker, but for some reasons,
> tracker fails to create a new entry.
>
> Regards,
>
> Fabien Le Floc'h.
> ------------------------------------------------------------------------------
> Free Software Download: Index, Search & Analyze Logs and other IT data in
> Real-Time with Splunk. Collect, index and harness all the fast moving IT data
> generated by your applications, servers and devices whether physical, virtual
> or in the cloud. Deliver compliance at lower cost and gain new business
> insights. http://p.sf.net/sfu/splunk-dev2dev 
> _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

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