Mini-series on PDE-Option Pricing with Matlab

[Darou]

I just finished a mini series on European- American- and Barrier- Option Pricing with Matlab. What else would you like to see in this series?

How Can I Price an Option with a PDE Method in Matlab? (Short link: http://wp.me/p1Z6JG-8m)

 

[Daniel Duffy]

Nice to see some people are working in PDE! Well done.

What about letting T -> infinity and see if the solution converges to the steady-state solution aka perpetual option (which is known, see Haug).

 

[Adrián Facchi]

Nice to see some people are working in PDE! Well done.

What about letting T -> infinity and see if the solution converges to the steady-state solution aka perpetual option (which is known, see Haug).

Could you please develop a little more on that regard? I've never hear about this. Also would like to know what is the reference that are you quoting (¿the book with a lot of formulas?).

Back to the topic; How about to generalize the PDE solver to obtain the price under an (already known) local volatility surface?

 

[Daniel Duffy]

Could you please develop a little more on that regard? I've never hear about this. Also would like to know what is the reference that are you quoting (¿the book with a lot of formulas?).

Back to the topic; How about to generalize the PDE solver to obtain the price under an (already known) local volatility surface?

For some apps we may not have a time-independent solver so we simulate by taking even bigger T (btw is a great test of a solver). Espen Haug has closed solution for perpetual American options.
hth