inite differences is an obsolete technique. See the chapter
(
Finite elements
). It has problems, see
the section (
Remark on
stability of financial problems
). It lacks efficiency of approximation,
see the section (
Wavelet analysis
).
However, it is also a very simple technique. It is applicable in context of
model validation. In addition, there is much of legacy code around that uses
finite differences (and even binary trees) and needs support.
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