quantitative_finance-margrabe_option

Applied numerical finance project about the multivariate Black-Scholes model
Margrabe option pricing: Monte Carlo simulation vs closed-form solution
Implementation of variance reduction techniques: Control Variate estimate and Antithetic Monte Carlo estimate
Sensitivity analysis on the most important parameters for Margrabe option pricing
SEE THE CODE AND THE REPORT FOR ADDITIONAL DETAILS

Name		Name	Last commit message	Last commit date
Latest commit History 4 Commits
Monte Carlo for the Margrabe option - Code.ipynb		Monte Carlo for the Margrabe option - Code.ipynb
Monte Carlo for the Margrabe option - Report.pdf		Monte Carlo for the Margrabe option - Report.pdf
README.md		README.md

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