Show that when the terminal condition is a constant (phi(T, x)=c>0) the implicit scheme (22.8) recovers the

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Show that when the terminal condition is a constant $\phi(T, x)=c>0$ the implicit scheme (22.8) recovers the known solution $\phi(s, x)=c \mathrm{e}^{-r(T-s)}, s \in[0, T]$.

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Introduction To Stochastic Finance With Market Examples

ISBN: 9781032288277

2nd Edition

Authors: Nicolas Privault

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Show that when the terminal condition is a constant (phi(T, x)=c>0) the implicit scheme (22.8) recovers the

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Introduction To Stochastic Finance With Market Examples

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