Timeline for NDSolve There are fewer dependent variables, {V[S,t]}, than equation
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
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| Jul 4, 2015 at 1:27 | answer | added | Animesh Saxena | timeline score: 1 | |
| Jul 2, 2015 at 15:31 | comment | added | Animesh Saxena | Yes I realize the problem. I basically want to specify boundary condition as V[S,T] = Max(S-K,0) for S<120 and V[S,t] = 0 for S>=120. Not sure how to write this in pde format for dsolve | |
| Jul 2, 2015 at 15:05 | comment | added | bbgodfrey |
The code as first written does not include a boundary condition but instead an equation defining V for all S and t, which eliminates it as a dependent variable; hence, the error. Changing t to T turns the second equation into a bouncary condition, and all is well. You need a boundary condition in t too, something like V[S,0] == 0. Also, note that sigma and K are undefined. Although it does not matter here, it is bad practice to begin variable names with capital letters, because Mathematica functions also begin with capital letters.
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| Jul 2, 2015 at 14:54 | comment | added | bbgodfrey | Welcome to Mathematica.SE! I hope you will become a regular contributor. To get started, 1) take the introductory Tour now, 2) when you see good questions and answers, vote them up by clicking the gray triangles, because the credibility of the system is based on the reputation gained by users sharing their knowledge, 3) remember to accept the answer, if any, that solves your problem, by clicking the checkmark sign, and 4) give help too, by answering questions in your areas of expertise. | |
| Jul 2, 2015 at 14:45 | comment | added | Michael Seifert | For those who are not familiar with the Black-Scholes equation with the barrier option, can you either edit your question to include the PDEs and the boundary conditions you're trying to implement, or link to a description of same? | |
| Jul 2, 2015 at 14:28 | review | First posts | |||
| Jul 2, 2015 at 14:55 | |||||
| Jul 2, 2015 at 14:28 | history | asked | Animesh Saxena | CC BY-SA 3.0 |