# Tag Info

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You might want to set $a= \epsilon - d$ and write $\epsilon>0$ as a constraint. I guess $\textbf{lsqnonlin}$ is the suitable fonction for what you intend to do. I personnally like to use and play around with $\textbf{fmincon}$, which allows more flexibility and performs well, if you are willing to provide Jacobian and/or Hessian in algorithms options

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Who gave you that idea? You absolutely can use Finite Differences for other PDEs. They are routinely used to solve hyperbolic PDEs (wave equation, both first and second order) and elliptic PDEs (steady state diffusion/heat equation). You can even mix and match the equation types and create PDEs that have characteristic of both hyperbolic and parabolic ...

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Rather than thinking about the steps, think about the piecewise regions where your value is constant. When using the explicit scheme, time zero option value at any stock price for your simple digital option is basically just a function of which antecedent nodes (accounting for backwards timestepping) were above or below the strike. Slight modifications of ...

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Yes it can be done. However, bear in mind that a naive explicit FD scheme is not unconditionally stable (see CFL stability condition). As far as your initial/boundary conditions issue is concerned: [Time domain] Use terminal condition $V(S,T)=h(T)$ where $h(T)$ figures the payoff of the target derivative claim at maturity $T$ (e.g. $h(T)=(S-K)^+$ for a ...

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My CS master was: Investment recommendations generated using prediction models based on regression in time series Description: The purpose of this paper is to present the environment for generating investment recommendations from predictive models based on regression and evaluating their performance using machine learning techniques on historical high ...

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