boundary condition question.

Posted by Sun, Xiuxin on Oct 17, 2008; 10:09am
URL: http://quantlib.414.s1.nabble.com/boundary-condition-question-tp6831.html


HI,
In FDEuropeanEngine module, if I'm right, the boundary conditions are
set up in FDVanillaEngine::initializeBoundaryConditions. They are
NeumannBC, but as I know from the BS PDE,
we only know the option value on the upper and lower boundaries,
shouldn't they be DirichletBC ?

please help to advise.
thanks,
sun

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