Numerical methods for financial engineering

• Main Author: Wu, Guan
• Other Authors: Tan Eng Leong
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2021
• Subjects: Business::Finance::Options; Engineering::Electrical and electronic engineering
• Online Access: https://hdl.handle.net/10356/149032
• Institution: Nanyang Technological University

The pricing of options is part of core content of financial engineering. Black-Scholes-Merton model is the most classic model to solve option pricing with underlying assets of stocks. Finite difference method is widely used to solve partial differential equations. There are three goals of this pape...