Implement the explicit finite-difference method to price derivatives, that almost always are described as differential equations of diffusion or parabolic type. The Finite-difference methods are precisely designed for finding numerical solutions of differential equations. This assignment was done as part of the Master in Quantitative Finance course, at the FGV University. You can check my report here (the text is in Portuguese). I will use mostly Python to code the project.
This project requires Python 2.7 and the following Python libraries installed:
- P. Wilmott. Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition). Wiley, 2006. link
The contents of this repository are covered under the MIT License.