BlackScholes
A course project in CSC446 Numerical Methods for PDE UofT Winter 2019
Implemented in Matlab. The following programs are contained here
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- BS_eur_impl_fd.m European options implemented with implicit FD
- BS_eur_cn.m European options implemented with Crank-Nicolson FD
- BS_eur_cn_sor.m European options with Crank-Nicolson and SOR method
- BS_eur_actual.m European options with explicit formula
- BS_eur_spread.m European options with bullish vertical spread
- eur.c European options with CN & SOR in C with -O2 opt.
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- BS_am_cn.m American options implemented with Crank-Nicolson FD
- BS_am_cn_psor.m American options with Crank-Nicolson and PSOR method
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- SOR.m SOR method for European options
- PSOR.m PSOR method for American options
- graph_surface.m Generates surface given a [X,Y] mesh
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- scriptEurPayoff.m Creates payoff diagrams for Eur. options (has spread)
- scriptEurMeth.m Compares European option with CN using A\b and SOR
- scriptEurComp.m Creates table for comparison between implicit and CN
- scriptEurAm.m Compares European option and American option
- scriptAmPayoff Creates payoff diagrams for American options
- scriptAmComp.m Compares American options using SOR and without
- scripts can be run directly and graphs will be generated.
- Note that scriptEurPayoff can uncomment BS_eur_spread to run the bullish vertical spread program
- main.m is script that will run ALL programs and should use publish option to view all diagrams and data that are presented in report Can easily modified to view other possible data configuration
- eur.c can be compiled and run will the following gcc -o eur -O2 eur.c ./eur
- All scripts and programs (including eur.c) have predefined values already which can be easily changed
- I was not entirely sure about American call option since there was little information found on the internet. From what I could gather, it was apparently that on no divident-paying basis, the American call option is no diferrent from European option since it's better to hold it until maturity.
- The bullish vertical spread seems slightly off compared to the values (the graph) that is presented in the book as well as the theorectical values found on internet (e.g. at S=E, V=A/2)
- I figured that it may be have been a good idea to investigate the option delta a little bit after reading many literatures that make reference to it. However, time was running out so it was not possible to do that.