Robert Morey's repositories
CppFiniteDifference
Finite Difference Method for options pricing (European and American) in C++ (Explicit only)
Language:C++000
PythonFiniteDifference
Finite Difference Method for Option (European and American) pricing, with greeks for explicit. FastExplicit() is a partially vectorised form of Explicit() that is much faster.
Language:Jupyter Notebook000