RE: FiniteDifferences framework: composition of L including S

Posted by cuchulainn on
URL: http://quantlib.414.s1.nabble.com/FiniteDifferences-framework-composition-of-L-including-S-tp3348p3353.html

You're welcome

Daniel

> -----Original Message-----
> From: Luigi Ballabio [mailto:[hidden email]]
> Sent: 12 October 2004 11:36
> To: Daniel J. Duffy
> Cc: [hidden email]
> Subject: Re: [Quantlib-users] FiniteDifferences framework: composition
> of L including S
>
>
> 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
>
>
>