Posted by
Luigi Ballabio on
Mar 08, 2011; 9:53am
URL: http://quantlib.414.s1.nabble.com/TR-BDF2-finite-differences-scheme-tp6328p6329.html
Hello Fabien,
apologies for the delay. I'll have a look at your code as soon as I
get some time.
Thanks,
Luigi
On Mon, 2011-02-28 at 12:02 +0100, Fabien Le Floc'h wrote:
> 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.
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