Validate a finite difference code in matlab which prices derivatives - Statistics Financial Analysis Business Mathematics
This is a short piece of matlab code which implement a finite difference method for a black scholes type PDE. When the underlying process is geometric brownian motion, the solution seems to be consistent to black scholes, when the underlying is a mean reverting process, the solution seems not so stable. Please help me to understand whether this is the correct case or there is some implementation error. Thanks Desired Skills: Statistics Financial Analysis Business Mathematics Keywords: Other - Finance & Mgmt
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