Authors: John Cai, Aarsh Sachdeva, Xiaoyu Liu, Kuishuai Yi
Pricing Barrier Options using PDEs in C++.
This was part of our project where we extended a C++ library to price barrier options using PDES. I was the lead developer for this project.
To compile this file, you will need the relevant C++ libraies. You can email me to ask for it. You will also need the Armadillo C++ Scientific library.
To just use it to price a barrier option, you can simply load the XLL SUBMISSION.xll file.
For more explanation on the use, check out the explanation below. Alternatively, check out the link to the paper
