Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-051807-164436


Document Typethesis
Author NameAMPADU, EBENEZER
Email Address ampadue at aol.com
URNetd-051807-164436
TitleImplementation of Some Finite Difference Methods for the Pricing of Derivatives using C++ Programming.
DegreeMS
DepartmentMathematical Sciences
Advisors
  • PROFESSOR DOMOKOS VERMES, Advisor
  • Keywords
  • Finite
  • Finite Difference
  • Pricing
  • C++
  • Date of Presentation/Defense2007-05-19
    Availability unrestricted

    Abstract

    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++.

    Files
  • EAMPADU.pdf

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