brnohu / catch_up

This is companion code for the Wilmott article Catch Up by Jesper Andreasen. The xll code is based on Antoine Savine's https://github.com/asavine/xlCppTutorial where more info is available

Catch Up by Jesper Andreasen, Wilmott magazine

We consider finite difference implementation of local volatility models when the underlying has a non-trivial drift. For this case, we develop a finite difference scheme that guarantees positive transition probabilities and also handle the case where the input option prices are not fully arbitrage consistent. We include C++ code for our finite difference solver.