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

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++.

Identiferoai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1826
Date18 May 2007
CreatorsAmpadu, Ebenezer
ContributorsDomokos Vermes, Advisor, ,
PublisherDigital WPI
Source SetsWorcester Polytechnic Institute
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceMasters Theses (All Theses, All Years)

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