From: Luigi B. <lui...@gm...> - 2008-10-21 14:54:39
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On Mon, 2008-10-20 at 21:01 +0200, jean-marc mercier wrote: > I am not part of Quantlib team, however I would say that none of your > guess are correct: transparent Boundary Conditions should be used. > However, if the grid is large enough, Neumann or Dirichlet are a > correct alternative for a classical FD approach. True, they both work. When you're deep in the money the delta is close to 1 and the value is close to S; deep out of the money the value and the delta are both close to 0. Luigi -- The surest way to make a monkey of a man is to quote him. -- Robert Benchley |