pde_solve: Solve Feynman-Kac PDE/variational inequality for Ito...

In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes

Description

Solves the PDE or variational inequality for an associated Ito diffusion via Feynman Kac formula.

Usage

pde_solve(pde.setup, variational = FALSE, output = "price")

Arguments

pde.setup	list containing problem setup. See details
variational	boolean for variational inequality vs PDE proper
output	type of output to return: price, greeks, or grid

Details

An implicit scheme is implemented to solve the PDE and dynamic programming used for the variational inequality. The pde.setup list should contain "grid.x", "grid.t", "alpha", "beta", "delta". The last three are the coefficients of the linear system, i.e. the tridiagonal entries of the matrix.

Value

depending on the output input, this function either returns the price (numeric), a vector of the price and greeks, or the entire solution grid.

shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.