Diamond_Finance: A Software for Simulation of Option Price and Greeks by Finite Element Method

다국어 초록 (Multilingual Abstract)

We introduce option pricing software that gives the user the ability to easily calculate option prices and their Greeks in a graphical user interface (GUI). The software Diamond_Finance is implemented in MFC and supports ‘Microsoft Windows’ operating system such as windows XP. It shows option prices and Greeks graphically as evolutions in time or as a stock-time plot for a maturity time. The valuation is done using the finite element method and IPSAP solver [1] developed by our lab.
Frequently used method for finding approximate solutions to partial differential equations for option pricing is Finite Difference (FD) method. We use another method, the so called Finite Element (FE) method. The FE method has several advantages compared to FD method, for instance, FE method computes a solution for the entire domain, instead of isolated nodes as in the case of FD [2].
The program gives the user not only accuracy solution but also saving processing time and memory resource. Below table is one of the examples for comparison of Speed and Accuracy.