chosing assetSteps and timeSteps for FdAmericanOption

Posted by Vadim Ogranovich-3 on May 06, 2002; 6:04pm
URL: http://quantlib.414.s1.nabble.com/chosing-assetSteps-and-timeSteps-for-FdAmericanOption-tp2047.html

Hi,

This is more of a numerical question. Is there any rule of thumb for
choosing assetSteps and timeSteps values for FdAmericanOption? For example
do they need to grow as time to maturity grows and if yes how (linearly,
etc.)?

Thanks, Vadim

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