Project :: Asian Call with Finite Differences

Specifications

  The project included development of a model to price continuously compounded average strike Asian Calls using a Finite Differences method. A Crank-Nicolson scheme was used to discretize the PDE with a careful consideration of the Robin type of boundary condition.

Project Type: Quantitative Finance

Role: Financial Engineering | Software Engineering

Technology: C++

Features: Crank Nicolson | Finite Differences | Options

Industry: Education | Financial




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