Re: boundary condition question.

Posted by Luigi Ballabio on Oct 21, 2008; 2:54pm
URL: http://quantlib.414.s1.nabble.com/boundary-condition-question-tp6831p6835.html

On Mon, 2008-10-20 at 21:01 +0200, jean-marc mercier wrote:
> 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.

True, they both work.  When you're deep in the money the delta is close
to 1 and the value is close to S; deep out of the money the value and
the delta are both close to 0.

Luigi


--

The surest way to make a monkey of a man is to quote him.
-- Robert Benchley



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