Finite Difference Methods for Option Pricing

Overview

This repository contains solutions and implementations for the Applied Computational Finance class test, focusing on Finite Difference Methods (FDM) for solving partial differential equations in option pricing.

Contents

• Explicit Finite Difference Method: Forward-time, centered-space (FTCS) approach.
• Implicit Finite Difference Method: Backward-time, centered-space (BTCS) approach.
• Crank-Nicolson Method: A combination of explicit and implicit methods for stability and accuracy.
• Boundary Conditions & Stability Analysis.

Setup

To run the provided code, ensure you have:

• C++ (or MATLAB/Python) installed.
• A working compiler/interpreter.
• Compile and run in-class-test.cpp