Advertisement
Not a member of Pastebin yet?
Sign Up,
it unlocks many cool features!
- for i=(Asset_Steps):-1:2
- % Discretizing The Option Value and Computing The Greeks
- Delta= (V_Old(i + 1) - V_Old(i - 1)) / (2*ds);
- Gamma= (V_Old(i + 1) - 2 * V_Old(i) + V_Old(i - 1)) / (ds*ds);
- Theta = -0.5 * Sigma * Sigma * Stock(i) * Stock(i) * Gamma + ...
- R*(V_Old(i)-(Stock(i) * Delta)); % Black Scholes PDE Solving
- V_New(i) = V_Old(i) - dt * Theta; % Explicit Scheme
- end
- % Boundary Conditions
- V_New(1) = V_Old(1) * (1 - R * dt); % Lower Boundary
- V_New(Asset_Steps+1) = 2 * V_New(Asset_Steps) - V_New(Asset_Steps - 1); % Upper Boundary
- %Marching Backwards in T
- V_Old=V_New;
Advertisement
Add Comment
Please, Sign In to add comment
Advertisement