How can I find the stability condition?
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If I implemented an explicit method to price a European call option, how can I check if it is stable if I know that the stability condition is delta(t)/delta(s)^2<=lambda? How can I find lambda?
2 comentarios
Kevin Phung
el 16 de Sept. de 2019
I dont know much about call options, but it looks like you are trying to take a limit. are t and s both variables? or do you know if one is a constant?
Mahesh Taparia
el 19 de Sept. de 2019
Hi,
Can you elaborate more what you want to do exactly. Do you want to find lambda or the stability condition? If you know the stability condition, you should be knowing the lambda value.
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