金融衍生品模型与Matlab应用:隐式方法及Crank-Nicoon方法.pptx

金融衍生品模型与Matlab应用:隐式方法及Crank-Nicoon方法.pptx

MSF524-01:ModelsforFinancialDerivativesStuartSchoolofBusinessIllinoisInstituteofTechnologySpring2015Instructor:SangBaum“Solomon”Kang,PhDFRMLecture14

AnnouncementTheFinalExamDateandTime:Friday,May8th,6:00pmto8:00pmLocation:DowntownCampus,Room401(thelabwithaBloombergmachine;thelabthattheeveningclassmeets)MSF524-01,IITStuartSchoolofBusiness2

Today‘sAgenda3MSF524-01,IITStuartSchoolofBusinessFiniteDifferenceMethods(2/2)ImplicitMethodCrank-NicolsonMethod[BONUS]AmericanOptionPricingusingCrank-NicolsonMethodMatlabtipsBackslashoper

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