Series
Financial Engineering Programming
2 posts
- #20
Implicit Finite Difference Method (FDM) — Part 2
Walking through the Implicit FDM code for pricing a European call — from a 3×3 matrix to the fully generalized grid, step by step and hehe all the way!
· 8 min read - #21
Crank-Nicolson Finite Difference Method (FDM)
We wrap up FDM by tackling Crank-Nicolson — the method that splits the difference between Explicit and Implicit and turns out to be the most computationally efficient of the bunch.
· 5 min read