Final Project: Columbia University School of Engineering MS in Financial Engineering

Mathematical Finance Practitioner's Seminar

Javascript program that calculates option prices using finite differencing algorithms applied to the Black-Scholes PDE translated into heat equation coordinates.
Choose from the implicit, explicit, and Crank-Nicolson generated option price.
Black-Scholes pricing algorithm written by M.Smirnov.

Warning: Some calculations may take time...

Enter parameters:

STOCK PRICE:                 

STRIKE PRICE:                

INTEREST RATE (.1 for 10%):  

VOLATILITY:                  

TIME TO EXPIRATION IN DAYS:  

EUROPEAN PUT PRICE (FD):     

EUROPEAN CALL PRICE (FD):    

BLACK-SCHOLES CALL PRICE:    

ERROR (fdCALL-bsCALL):       

IMPLIED VOLATILITY:	     

NUMBER OF CALCULATIONS:

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