Excel implementation of finite difference methods for option pricing
This paper presents and explains finite difference methods for pricing options and shows how these methods may be implemented in Excel. We cover both the explicit and the implicit finite difference methods. Each uses a numerical approximation to the partial differential equation and boundary conditi...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Bond University
|
| Series: | Spreadsheets in Education |
| Online Access: | http://sie.scholasticahq.com/article/4652-excel-implementation-of-finite-difference-methods-for-option-pricing.pdf |