<t>Prof. Duffy,This vega pde comes from the Lagnado and Osher paper, where they used this to compute the variational derivative.For the european call boundary conditions, I just took the vega I computed using direct differences. And the result I mentioned where I had nul everywhere was due to a bug ...

<t>Hi,Referring to the equation by accelas (vega pde with source/sink term): ,for standard european options, what would be the upper and lower boundaries? ( Vega(Smin,t) and Vega(Smax,t) )I used BS vega at the boundaries but it gave me almost 0 vegas for the whole grid. What would you use as boundar...

hi LocalVolatility,did you manage to get your hands on the this paper:Andersen, Brotherton-Ratcliffe; The equity option volatility smile: An implicit finite-difference approachcould you please post? thanks

hi,i am also looking for the Lagnado-Osher paper, could someone please post.thanks