A library of code that implements "Discrete Local Volatility for Large Time Steps" by Buehler and Ryskin.

Reference

@article{buehler2017discrete,
  title={Discrete local volatility for large time steps (extended version)},
  author={Buehler, Hans and Ryskin, Evgeny},
  journal={Available at SSRN 2642630},
  year={2017}
}