Re: QuantLib enhancement proposals

Posted by Nicolas Di Césaré on Oct 29, 2001; 11:18am
URL: http://quantlib.414.s1.nabble.com/QuantLib-enhancement-proposals-tp1779p1783.html

Ferdinando Ametrano wrote:

>
> Has anyone other example of free boundary problems? I can only think
> of passport option.


Hi all,

Discretization model can introduce free boundary condition. By example,
the model intoduced by K. Tsiveriotis and C. Fernandes to price
convertible bonds (CB). They define a second unknow, the "cash only
convertible bond" price solution of an equation with a free boundary
condition.


cheers,

Nicolas