Re: FiniteDifferences framework: composition of L including S

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/FiniteDifferences-framework-composition-of-L-including-S-tp3348p3351.html

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