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Results tagged with finite-difference-method
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user 15191
3
votes
2
answers
2k
views
Black Scholes Theta Finite difference
I am trying to obtain the Theta from Closed Formula by using Finite Difference methods and I observe some discrepancies.
For instance, here with the following parameters:
Spot:50, Strike:50, Rate: 0. …
- 9,884
3
votes
1
answer
2k
views
Local Volatility implementation
The Dupire equation is well-known and mentioned in thousands of articles. Although I could not find a lot of documentation about a consistent and proper way of implementing the formula (The difficulty …
- 5,702