I have the following non-linear PDE and I have no idea how to go about solving it using a finite difference scheme in Python. Can someone get me started and/or point me to an algorithm for doing this? ...
What different techniques exist for modeling exotics near payoff discontinuities in Finite Difference method?
If you are modeling an exotic, like a binary or a barrier, and hedging it with vanillas that have strikes quite close to the exotic's strike, then a large asset step size, for example, $\delta S = ...
I try to use the finite difference method to get the approximately gamma value, but there is an issue I can't solve. First, I set $h$ to 1 basis point of underlying asset value, but the result is not ...
After implementing some FDM to price some option, there are gaps between our grid points that may be of interest. From reading around, it appears common to use bilinear interpolation to estimate ...