Implementation of Some Finite Difference Methods for the Pricing of Derivatives using C++ Programming.

Description

In this project,European Call and Put options,and also American Call and Put options have been priced by some finite difference methods using the C++ programming language.The report describes the following:The theory behind the pricing of options,some pricing methods,and how some finite difference pricing methods have been implemented in C++.

Links & Downloads

1. https://digitalcommons.wpi.edu/etd-theses/827
2. https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1826&context=etd-theses

Tags

Finite

Finite Difference

Pricing

C++

Finite differences

Derivative securities

C++ (Computer program language)

Additional Fields

Identifer	oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1826
Date	18 May 2007
Creators	Ampadu, Ebenezer
Contributors	Domokos Vermes, Advisor, ,
Publisher	Digital WPI
Source Sets	Worcester Polytechnic Institute
Detected Language	English
Type	text
Format	application/pdf
Source	Masters Theses (All Theses, All Years)