Re: boundary condition question.

Posted by jean-marc mercier on Oct 20, 2008; 7:01pm
URL: http://quantlib.414.s1.nabble.com/boundary-condition-question-tp6831p6832.html

Dear Sun,

I am not part of Quantlib team, however I would say that none of your guess are correct: transparent Boundary Conditions should be used. However, if the grid is large enough, Neumann or Dirichlet are a correct alternative for a classical FD approach.
Note that there exists also FD approaches for European or American pay off that do not use any boundary conditions.

Regards,

Jean-Marc Mercier

2008/10/17 Sun, Xiuxin <[hidden email]>

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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