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
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
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