Contained here are the R source files for my thesis, segmented by section.
Section 2:
1D_Heat.R - 1 dimensional heat equation model
Section 3:
EXP_B-S.R - explicit Black-Scholes FDM model
IMP_B-S.R - implicit Black-Scholes FDM model
Section 4/5:
M1.R - stochastic volatiltiy model 1 to price a European call option
M2.R - stochastic volatiltiy model 2 to price a European bull-call spread
M3.R - stochastic volatiltiy model 3 to price a European bull-call spread
M3-2.R - stochastic volatiltiy model 3 to price a European call option
EM.R - Euler-Maruyama Monte Carlo model to price a European call option and a European bull-call spread