Dear all,I am currently attending an MSc in mathematics and finance. One of the core courses during term 1 is C++ programming in finance, and I have just finished writing codes to price european and american options (vanilla) by finite differences (Crank Nicolson with Crout for european, CN with projected SOR for the second, in both cases discretizing the BSE equation directly); I seem to be getting significant pricing errors (mostly in projected SOR, where there is way tooo much early exercise in the call option). Do you know of any textbook/lecture notes sources (with specific emphasis on C++) that might be available on the net to compare/improve my results with (that is, sources other that Paul Wilmott's own books on the argument)?Bear in mind, that the first line of C++ code I ever wrote in my life was one month and a half ago.Thank You in advance,Giacomo

You will find most books about finance will have vba codes in them. The only book on the market that deals with C++ and options pricing is one by Robert Brooks, Building Financial Derivatives Applications with C++.Those books that do contain C++ code is written for a specific compiler and you will have a hard time running those code if you do not have the same compiler. The Brooks has code that can be compiled for Borland C++ builder. Since I have only used Borland C++ compiler, the book is not understandable to me. Also, the Brooks books does not cover finite difference methods. You will need to look elsewhere for it. I am also in the process of learning more about finite difference methods. What books are you using? Maybe we can help each other out. Your best bet is to get some vba codes, run and test them. So you know where your mistakes are you in C++ code and try and port vba code over to C++.Check also: http://finance.bi.no/~bernt/gcc_prog/al ... s.htmlFrom this thread: http://www.wilmott.com/310/messageview. ... eadid=1355