Re: FdDividendAmericanOption

Posted by Joseph Wang on Dec 30, 2004; 11:17pm
URL: http://quantlib.414.s1.nabble.com/FdDividendAmericanOption-tp3453p3454.html

I think the basic problem is that when you turn x = log(S) into an operator,
dx = dS / S and you start getting extra terms in the difference equation
that
aren't being put into BSMOperator.  One could go and work out what the
operator should be with a logarithmic grid, but I suspect that the second
derivative is going to add a lot of nasty terms.