Finite Difference Methods for Option Pricing

In this quantitative finance training course, we will review finite difference numerical methods to price options.

We will see how to solve numerically the Black-Scholes partial differential equation with these approaches.

We will present the three main methods: explicit, implicit and Crank-Nicolson.

We will show that the explicit method is equivalent to the trinomial tree approach and discuss the pros and cons of each method in terms of stability, accuracy of the estimate and computation speed with concrete examples.

The course is composed of many videos, quizzes, applications and tutorials in Python.

A certificate of achievements will be delivered once the course has been completed with success.