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++.
Worcester Polytechnic Institute
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Ampadu, Ebenezer, "Implementation of Some Finite Difference Methods for the Pricing of Derivatives using C++ Programming." (2007). Masters Theses (All Theses, All Years). 827.
Finite, Finite Difference, Pricing, C++, Finite differences, Derivative securities, C++ (Computer program language)