Skip to main content

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.

Filter by
Sorted by
Tagged with
2 votes
1 answer

Gamma for a basket option in Python - Finite Differences vs. AAD Autograd library using Heaviside Approximation

I have been trying to use the Heaviside Approximation for a simple basket option so that I can solve for Gammas with AAD (Adjoint Automatic Differentiation). This routine smooths the payoff function ...
Matt's user avatar
  • 137