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-tp3348p3352.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.
>
> http://www.datasim-component.com/financial.asp?section=resources

Right--thanks for pointing out.

Cheers,
        Luigi