# Questions tagged [finite-difference]

Finite difference is a numerical procedure used to approximate derivatives computation by a linear combination of the value of the function at some specific points. This is particularly useful when solving PDEs and SDEs which involve discretization in both time and state dimensions.

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### Numerical Solution to 3 Dimensional Backward BS PDE

I have a three dimensional backward BS PDE.  \frac{\partial V}{\partial t} + a(t) S \frac{\partial V}{\partial S} + \frac{1}{2} \sigma(t, S)^2 \frac{\partial^2 V}{\partial S^2} + b(t, M) \frac{\...
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### Kirk Spread Approximation, Greeks by Finite Difference

I am using finite difference on Kirk's Approximation for Spread Options to estimate greeks of the Spread Option. Now this is creating an problem in the estimation of gamma. For at the money options (...
I want to calculate the local volatility from Dupire's formula: $\sigma _{VL}^{2} (K,T,S_{0}) = \frac{\frac{\partial C}{\partial T}}{\frac{1}{2} K^{2} \frac{\partial^2 C}{\partial K^2}}$ So I use ...