Financial Derivatives Calculator with 168+ Models (Options Calculator)
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Updated
Feb 16, 2024 - C++
Financial Derivatives Calculator with 168+ Models (Options Calculator)
A UI-friendly program calculating Black-Scholes options pricing with advanced algorithms incorporating option Greeks, IV, Heston model, etc. Reads input from users, files, databases, and real-time, external market feeds (e.g. APIs).
Demonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.
This is a simulation project for the seconder order discretization schemes for the CIR process.
Application used to price an option under the BarbequeRTRM framework
Pricing in a Heston model context, using the QE scheme, the Andersen scheme and Monte-Carlo methods to price vanilla options.
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