Notes on the BENCHOP implementations for the FDNU method

This text describes the FD-NU method and its implementation for the BENCHOP-project. 1 Spatial discretizations For example, under the Black-Scholes model European option prices u satisfy the PDE ut(s, t) + 1 2 σsuss(s, t) + rsus(s, t)− ru(s, t) = 0, s > 0, t ∈ [0, T ), (1) where σ and r are the volatility and interest rate, respectively. We employ… CONTINUE READING