construct_tridiagonals: Matrix entries for implicit numerical differentiation using...

In brianboonstra/ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

Description

Matrix entries for implicit numerical differentiation using Neumann boundary conditions

Usage

construct_tridiagonals(sigma, structure_constant, drift)

Arguments

sigma	Volatility of diffusion process (without jumps to default)
structure_constant	The ratio between time interval dt and the square of space interval dz^2
drift	Vector of drift rate of underlying equity grid points, including induced drift from default intensity

Value

A list with elements super, diag and sub containing the superdiagonal, diagonal and subdiagonal of the implicit timestep differencing matrix

brianboonstra/ragtop documentation built on March 7, 2020, 2:23 p.m.