Suppose we use the FTCS scheme to solve the BlackScholes equation so that Show that the sufficient
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Suppose we use the FTCS scheme to solve the Black–Scholes equation so that
Show that the sufficient conditions for nonappearance of spurious oscillations in the numerical scheme are given by (Zvan, Forsyth and Vetzal, 1998)
Transcribed Image Text:
Vn+1 - Vn AT = 2 Vn ·S²_j+1 $3² V/²4+1-20²2 + 2 V₁+1 - Vr 24S V-1 ; - 1 + r Sj ¹ – rV₁. - j-1
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The BlackScholes equation models the price dynamics of financial instruments such as options The Fin...View the full answer
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