资 源 简 介
Financial assets are simulated using Black-Scholes model :
lognormality is assumed and only value at maturity is randomly drawn
(only for path-independant payoffs)
or
stochastic differential equation is used to simulate complete process step by step
(slower but necessary for path-dependant payoffs)
Different options can be priced: {call, put}x{vanilla, lookback, parisian, parasian}. Random values are computed multiple times to obtain a mean value and an experimental standard deviation.
Everything is coded in C++ using object oriented programming principles.
The main program exports its results on the standard output or in a file but a simple R script is given to visualize quickly some outputs. In addition, to change parameters you must essentially modify it in source code and compile : Visual Studio have been used but everything else should be ok, maybe with minor changes. There is no dependencies excepted wit
