programming crank nicholson finite differencing for euro options

Agfox · October 18th, 2001, 12:56 am

ummm... is anyone an expert on programming a function so that it calculates options using crank nicholson finite difference method? some insites or references to some books and sites would be appreciated. btw, i finished my credit risk paper! yay! took me forever to go through all the materials which i researched on... that is just so inhuman... ciao for now p.s. need to do this in matlab...=)

reza · October 18th, 2001, 1:02 am

not sure about matlab version but Wilmott's second volume of "Paul Wilmott on Quantitative Finance" talks about FD and Crank-Nicholson in detail, otherwise there is also Tavella & Randall's book "Pricing Financial Instruments" ... hope this helps ...ps. Congrats for the paper ! would be nice if you could post a copy here.

Agfox · October 18th, 2001, 1:21 am

thanx reza for your help and all. umm... my paper!?!?! posting it here... oooh.... with all those tech ppl here, my paper would feel very threatened! lol... i'd probably get about 10000000 replies just critically analysing it!! well, 4th assignment for the week.... thought this program wouldnt be as hard as going through something bizzare like credit risk... but... i guess i cant think without much sleep...=) those prof should think about easing up on us poor college students..lol!