Faculty Advisor

Domokos Vermes

Abstract

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++.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2007-05-18

Accessibility

Unrestricted

Subjects

Finite, Finite Difference, Pricing, C++, Finite differences, Derivative securities, C++ (Computer program language)

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