Pitfalls of Exponential Fitting on the Black-Scholes PDE

15 Pages Posted: 6 Jan 2016 Last revised: 8 Jan 2016

Date Written: January 6, 2016

Abstract

This paper explores nine ways to apply exponential fitting methods to the Black-Scholes PDE. In particular, we will see that many ways lead to undesirable side-effects.

Keywords: Black-Scholes, PDE, exponential fitting, Scharfetter-Gummel, partial differential equation, diffusion

Suggested Citation

Le Floc'h, Fabien, Pitfalls of Exponential Fitting on the Black-Scholes PDE (January 6, 2016). Available at SSRN: https://ssrn.com/abstract=2711720 or http://dx.doi.org/10.2139/ssrn.2711720

Fabien Le Floc'h (Contact Author)

Calypso Technology ( email )

106 rue de la Boetie
Paris, 75008
France

Independent ( email )

France

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