2
$\begingroup$

I am wondering what the state-of-the-art regarding grid definition and construction, for solving PDEs using finite differences. I know some techniques are described in Duffy's Finite difference methods in financial engineering. I am aware of sparce grids and finite difference methods without boundary conditions.

However, my question or seek for advice is if someone knows some good references or techniques that are well-known to work, specially in the context of quantitative finance, i.e. give good results when applied to solve BS PDE equations (let it be SLV, a stock together with stochastic rates, etc).

I'd appreciate for example some references with discussions on how to set an upper/lower limit on the grid or how the spacing should be defined.

Thanks a lot!

$\endgroup$
2

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.