Problems about Crank-Nicolson method pricing down option

[Qilong Liu]

Hi,

I have encountered a serious problem about option pricing.

When I use Crank-Nicolson method to price down out call or put option, the results are way off the analytical value calculated from closed form. I think my code is correct because it works for vanilla and up options.

I just don't know why it not work for down options and I think boundary conditions and end point conditions are also correct.

So, did you guys ever run into the same problems before? I really ask for an answer to this problem.

Thanks very much.

 

[Qilong Liu]

I am eager to get answers from you guys. I have been tortured by my program for two days and I still cannot find where the problem is...

Thanks sososososo much!!!

 

[Daniel Duffy]

??

 

[Qilong Liu]

My question is that my program has problem when pricing down options whereas it is perfect for up and vanilla options. I don't why.

Would someone please provides me with sample codes to price down out call or put options?

Thanks very much.

 

[Andy Nguyen]

Post your down and out code.