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Homework13.ipynb
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Homework Set 13
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In [2]:
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pylab
inline
Populating the interactive namespace from numpy and matplotlib
Problem 1
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Implement the FDM for Black-Scholes PDE using the Crank-Nicolson Scheme and test your code using the same example in Lecture 13 for both the vanilla European Call and the Up-and-out Barrier Call.