TR-BDF2 finite differences scheme

Posted by Fabien Le Floc'h-3 on Feb 28, 2011; 11:02am
URL: http://quantlib.414.s1.nabble.com/TR-BDF2-finite-differences-scheme-tp6328.html

Hello,

Attached is the source of a new FD scheme called TR-BDF2, that can be
used in quantlib. It is of similar precision as Crank-Nicolson but with
better stability properties (works well even with a few timesteps,
greeks don't blow up). I have verified the implementation with
EquityOption.cpp and dividendoption.cpp.

Here is a paper about it: http://ssrn.com/abstract=1648878

I tried to submit this to the sourceforge tracker, but for some reasons,
tracker fails to create a new entry.

Regards,

Fabien Le Floc'h.

------------------------------------------------------------------------------
Free Software Download: Index, Search & Analyze Logs and other IT data in
Real-Time with Splunk. Collect, index and harness all the fast moving IT data
generated by your applications, servers and devices whether physical, virtual
or in the cloud. Deliver compliance at lower cost and gain new business
insights. http://p.sf.net/sfu/splunk-dev2dev 
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users