pide_setup: Set up grids for PIDE

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

Description

Implicit-Explicit PIDE solver for the extended Feynman-Kac connection for Ito-Levy processes with compound Poisson jump dynamics. Pass a list of coefficient functions and the mean-rate of jumps, a list of contract specifications, a list of jump-dynamics specifications, and finally a list of numerical specifications to solve a given PIDE problem.

Usage

pide_setup(f, contract_specs, jump_specs, numeric_specs)

Arguments

f	list of coefficient functions and mean-rate of jumps function
contract_specs	list of variables defining contract specifications, see details
jump_specs	list of variables defining the jump dynamics, see details
numeric_specs	list of variables defining numerical specifications, see details

Details

The list contract_specs must contain

• spot numeric

• div numeric

• maturity numeric

• payoff the payoff name

• payoff_param list of parameters for the payoff function

, the list jump_specs should contain

• distr the jump-size distribution name: "kou", "norm" or "unif",

• param the list of parameters for the above distribution

numeric_specs should contain

• N time-resolution (integer)

• M space-resolution (integer)

• L jump-resolution (integer)

• B boundary

Value

list

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