4851数理金融中等数值题short
Infer Rate From Crank-Nicolson Off-Diagonals 11
题目
Under the common Black-Scholes Crank-Nicolson convention alpha_i = 0.25*Delta_t*(sigma^2*i^2 - r*i) and gamma_i = 0.25*Delta_t*(sigma^2*i^2 + r*i). A grid dump reports i=2, Delta_t=0.5, alpha_i=0.0125, and gamma_i=0.0275. What risk-free rate r is implied?
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