JohnLeM,

Here an article on applying exponential fitting to a range of PDEs,

Authors

Le Floc'h

Publication date

2016

Journal

Available at SSRN 2711720

Description

This paper explores nine ways to apply exponential fitting methods to the Black-Scholes PDE. In particular, we will see that many ways lead to undesirable side-effects.

Scholar articles

Pitfalls of Exponential Fitting on the Black-Scholes PDE

L Floc'h - Available at SSRN 2711720, 2016

Related articles

The discussion around gamma is not a problem with fitting but using centred differences to compute gamma is weak. Gamma has its own PDE.

Maybe some reading for the weekend, as I suppose Boulevard San Michel is closed(?)