Derivative Pricing by Finite Difference Method

Student: Kononov Roman

Educational Programme: Applied Economics (Master)

Year of Graduation: 2018

Options valuation is a topical and one of the most difficult subjects of financial mathematics. The options market is considered to be one of the fastest growing and developing financial markets. This work is devoted to the study of the finite difference method for the evaluation of European and Asian options. This work is devoted to the study of the finite difference method for the estimation of European and Asian options. A Finite-difference Сrank – Nicolson scheme for approximation of the partial differential equation was implemented in this paper. The results were qualitatively compared with the Black – Scholes analytical formula and other researches. The most difficult of the considered tasks is the evaluation of Asian options. Difference schemes are one of the few relevant methods to solving this task. The results of the numerical study are presented in this paper.

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