Black-Scholes-Merton Option Pricing application with Greeks written in C++
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Updated
Oct 8, 2021 - C++
Black-Scholes-Merton Option Pricing application with Greeks written in C++
Monte Carlo Pricing with extendable PayOff model
Implementation of the Carr-Madan formula for fast derivative pricing of European options.
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.
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