European Cash-or-Nothing Call Option
Example 1
• S0 = 50, T = 0.25, r = 0.1, δ = 0.05, σ = 0.2, c = 10, K = 55,
m = 100, n = 100, S¯ = 100
• Compute the option price using the implicit finite difference method.
• Compute the option price using the explicit finite difference method.
1
American Put Option
Example 2
• S0 = 50, T = 0.25, r = 0.1, δ = 0.05, σ = 0.2, K = 55, S¯ = 100,
m = 100, n = 100
• Compute the option price using the implicit finite difference method.
• Compute the option price using the explicit finite difference method.
2
European Up-and-Out Call Option
Example 3
• S0 = 50, T = 0.25, r = 0.1, δ = 0.05, σ = 0.2, K = 45, B = 70,
m = 100, n = 100, S¯ = 100
• Compute the option price using the implicit finite difference method.
• Compute the option price using the explicit finite difference method.