European Call Option, Barrier and Look-Back Options

This is the simulation project barrier-and-look-back-options of team 3 at Imperial College London in the MSc in Mathematics and Finance. This project is part of the Simulation Methods in Finance (M5MF4) course and is carried under the supervision of Professor Harry Zheng.

Table of Contents

• Features
• Installation
  • Building the Project
  • Importing the Package
• Usage
  • Terminal App
  • C++ Package
• Credits
• License

Features

Our project includes the following features.

• Compute the European call option, the barrier option and the look-back price
• Compute the European call option, the barrier option and the look-back option greeks:
  • delta
  • gamma
  • vega
• Provide statistical information

Installation

You can either use the Windows application, or use our c++ package.

Usage

Terminal app

Please see the specific documentation in the /app directory.

C++ Package

Please see the specific documentation in the /src directory.

Credits

The team includes the following members, with the associated GitHub identifiers.

Name	GitHub id
Thomas Espel	tjespel
Konstantin Kulak	suncomer
Callum MacIver	maciverc
Vera Zhang	xuanverazhang
ZhenTian Qiu	qingwa901

License