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need help to price a european option using finite difference method

Posted 9 years ago

I am writing a function to price European option using backward induction finite difference method. The function is expected to price a European option taking Stock (stock), age (time), volatility (vol), interest rate (int), contractual expiry (expn), type of payoff (payoff),Strike ( strike), number of asset steps used for evaluation option (nas). I am expecting function to return price of the option based stock price and age (if option is bought today age is zero). I need help as I am only few weeks into mathematica programming so might be making basic mistakes. My code is as attached. Can anybody opine where I am going wrong.

Regards

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POSTED BY: Kausik Datta
POSTED BY: David Gathercole
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