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Put option pricing (plain vanilla)

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Calculation of plain vanilla option price using explicit, implicit and crank nicolson schemes.

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This set of m-files was done only with didactic purposes in mind, it could be used as a calculator, but its main intention is to show how the price of a plain vanilla put option evolves through time; showing the video of the evolution as well as the 3-D surface. (In case you want speed, just get rid of the videos and don't use the for loop). explicit, implicit and Crank-Nicolson schemes can be compared.

Comments and Ratings (3)

Jason

Jason (view profile)

Jason

Jason (view profile)

madi Ahmad

Hi! Can anyone tell me how to work this file for the call option

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