Pricing Currency Options Using Parabolic Pde

Abstract

The amount spent on option contract is the main problem in option pricing. The problem further gets complicated when there is need to project the future possible price of the option. This is achievable if one can be able to correctly determine the probability of the price increasing, decreasing or remaining constant. Any investor wishing to invest in the stock exchange would wish to make a pro t thus the need for good formulas that give very close solutions to the market prices. This project aims at using nite di erence method to price options using partial di erential equations.