Discretization of the Dirac delta function for application in option pricing
This paper compares two different approximations of the Dirac deltafunction used in a Fokker-Planck equation. Both methods deal with the singularity problem in the initial condition. The Dirac delta approximation, constructed in MATLAB with a method derived by Tornberg and Engquist, was compared to...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Uppsala universitet, Avdelningen för beräkningsvetenskap
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297648 |