Crank-Nicolson Finite Difference Option Pricer

Solve the Black-Scholes PDE using the Crank-Nicolson implicit finite difference scheme. Second-order accurate in both time and space, unconditionally stable for all time step sizes.

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$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Solve the Black-Scholes PDE using the Crank-Nicolson implicit finite difference scheme. Second-order accurate in both time and space, unconditionally stable for all time step sizes

Each component has a specific meaning:

  • Crank-Nicolson implicit finite difference scheme — The crank-nicolson implicit finite difference scheme recorded for the scenario being assessed.

Note: Interpret the crank-nicolson fd result against the thresholds and context described above.

How to Use

Enter the Crank-Nicolson implicit finite difference scheme for the scenario you are assessing. Solve the Black-Scholes PDE using the Crank-Nicolson implicit finite difference scheme. Second-order accurate in both time and space, unconditionally stable for all time step sizes. Use the crank-nicolson fd result to inform your calculation.

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Frequently Asked Questions