Hello,
I am trying to put into practice the finite difference method using commons
math 2.0. I am in reference to the following book: "Options, futures and
other derivatives" by John Hull. I have attached a gif of page 445 of the
6th edition of the book. Note that I assume that the discretisation of the
differential equation has already being achieved.
I am at a loss about how to NUMERICALLY resolve the system of equations in
section (17.31). As I will have a system of M-1 equations each having three
terms on the left-hand side member, it is not possible to use a square
matrix.
Can anyone please point me to the relevant parts of the commons math API and
give me clues as to how to numerically resolve the equation system please?
Thanks in advance,
Julien.