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  1. PythonFiniteDifference PythonFiniteDifference Public

    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.

    Jupyter Notebook

  2. CppFiniteDifference CppFiniteDifference Public

    Finite Difference Method for options pricing (European and American) in C++ (Explicit only)

    C++