Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

FEATURE: adding explicit method for black scholes (using forked repo) #12

Merged

Conversation

chemardes
Copy link
Collaborator

@chemardes chemardes commented Nov 21, 2024

The following implementation only takes into account a european call option

Changes:

  • Implemented the explicit method on the black-scholes equation

Things to do:

  • Need to implement it to allow toggling between call/put options (user can set it in the input parameters? e.g. "call"/"put")
  • Need to add check to see if user-defined conditions fall within the CFL condition
  • Need to add parameter validation (e.g. nodes need to be positive integers)
  • Error handling
  • Try to implement it in Crank Nicolson
  • Add comments

@chemardes chemardes self-assigned this Nov 21, 2024
@chemardes chemardes changed the title FEATURE: adding explicit method for black scholes (using forked repo) FEATURE: adding explicit method for black scholes Nov 21, 2024
@chemardes chemardes changed the title FEATURE: adding explicit method for black scholes FEATURE: adding explicit method for black scholes (using forked repo) Nov 21, 2024
@chemardes
Copy link
Collaborator Author

@alphaville @debdal6 free to merge?

@chemardes chemardes merged commit 8a5d14b into GPUEngineering:main Dec 2, 2024
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

2 participants