Option 1 : C American Option Pricing Model Using the Crank-Nicolson Scheme

Derivation of the ‘rearranged’ formula for the Crank-Nicolson scheme. Implementation in C++ of the pricing of an American put option, using the Crank-Nicolson scheme. Comments on the way to deal with the practical choices facing a finite difference implementer (e.g. the boundary conditions). Also comments on what algorithm is used for solving the linear system. Flagged up interesting observations coming out of the results; in particular, how the results compare to the results obtainable via a binomial tree