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Avellaneda PDE pricing
hiSomebody knows how to proceed to price a call spread with Avellaneda PDE uncertain volatility model with finite difference and fully implicit scheme. Precisely, i don't know how one choose the vol related to sign of gamma to solve the system of equations because the gamma is computed with the value function at step n+1 and precisely it is unknown.Thanks
Avellaneda PDE pricing
I don't know about this, but thought you might want to know that there is a book by one of his ex-PhD students on implementing these models and it contains all the C++ code in a CD-ROM. The author is called Robert Buff, and the book is published by Springer.