Solve Black-Scholes PDE numerically

Implement the finite difference method (choose explicitly) and find the call option price for S0=100,K=105,o=20%,T=0.2,r=0.05

Ideally, you should be able to specify parameter values in your code.

1) Compare your result to the closed-form solution (involving (d1),etc.) plot the error as a function of N, M.

(2) If you use explicit methods, show that the error can blow up if the stability condition is not

satisfied even with small t and x

(3) Report the running time if you want to make the error less than 0.1%.

(4) Using implicit or CN to solve this problem will get bonus points.

Solve Black-Scholes PDE numerically Implement the finite difference method (choose 100, K 105, o= 20%, T = 0.2, r = 0.05. Ideally in your code (1) Compare your result to the closed-form sol function of N, M (2) If you use explicit methods, show that the e satisfied even with small At and Ax (3) Report the running time if you want to ma (4) Using implicit or CN to solve this problem explicit) and find the call option price for So , you should be able to specify parameter values ution (involving (d1), etc.), plot the error as a error can blow up if the stability condition is not ke the error less than 0.1%. will get bonus points Solve Black-Scholes PDE numerically Implement the finite difference method (choose explicit) and find the call option price for So 100, K 105, a = 20%, T = 0.2, r = 0.05. Ideally, you should be able to specify parameter values in your code. (1) Compare your result to the closed-form solution (involving