cf_black_scholes_solv_cns: Black-Scholes solver

In pedroguarderas/CFINI: Computational finance routines

Black-Scholes solver

Description

Solver for Black-Scholes models implemented with the Crank-Nicolson numerical scheme

Usage

cf_black_scholes_solv_cns(sigma, rate, theta, u0, u1, u2, t, x)

Arguments

sigma	Volatility
rate	Interest rate
theta	Parameter for the Crank-Nicolson scheme
u0	vector with discretization of the initial condition
u1	vector with discretization of the inferior boundary condition
u2	vector with discretization of the superior boundary condition
t	vector with discretization of the time grid
x	vector with discretization of the spatial grid

Value

List with solution parameters

Note

pricing options

Author(s)

Pedro Guarderas [e-mail]

pedroguarderas/CFINI documentation built on Feb. 16, 2024, 2:17 p.m.