April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Pricing exotic barrier options
Finite differences are especially useful in pricing exotic options. The nature of the option will dictate the specifications of the boundary conditions.
In this section, we will take a look at an example of pricing a down-and-out barrier option with the Crank-Nicolson method of finite differences. Due to its relative complexity, other analytical methods, such as Monte Carlo methods, are usually employed in favor of finite difference schemes.
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