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.vs
.vs
 
 
.gitignore
.gitignore
 
 
AntiThetic.cpp
AntiThetic.cpp
 
 
AntiThetic.h
AntiThetic.h
 
 
Arrays.cpp
Arrays.cpp
 
 
Arrays.h
Arrays.h
 
 
ConvergenceTable.cpp
ConvergenceTable.cpp
 
 
ConvergenceTable.h
ConvergenceTable.h
 
 
EquityFXMain.cpp
EquityFXMain.cpp
 
 
ExoticBSEngine.cpp
ExoticBSEngine.cpp
 
 
ExoticBSEngine.h
ExoticBSEngine.h
 
 
ExoticEngine.cpp
ExoticEngine.cpp
 
 
ExoticEngine.h
ExoticEngine.h
 
 
Main.cpp
Main.cpp
 
 
Main.h
Main.h
 
 
Normals.cpp
Normals.cpp
 
 
Normals.h
Normals.h
 
 
OptionsPricer.sln
OptionsPricer.sln
 
 
OptionsPricer.vcxproj
OptionsPricer.vcxproj
 
 
OptionsPricer.vcxproj.filters
OptionsPricer.vcxproj.filters
 
 
OptionsPricer.vcxproj.user
OptionsPricer.vcxproj.user
 
 
Parameters.cpp
Parameters.cpp
 
 
Parameters.h
Parameters.h
 
 
ParkMiller.cpp
ParkMiller.cpp
 
 
ParkMiller.h
ParkMiller.h
 
 
PathDependent.cpp
PathDependent.cpp
 
 
PathDependent.h
PathDependent.h
 
 
PathDependentAsian.cpp
PathDependentAsian.cpp
 
 
PathDependentAsian.h
PathDependentAsian.h
 
 
PayOff1.cpp
PayOff1.cpp
 
 
PayOff1.h
PayOff1.h
 
 
PayOff2.cpp
PayOff2.cpp
 
 
PayOff2.h
PayOff2.h
 
 
PayOff3.cpp
PayOff3.cpp
 
 
PayOff3.h
PayOff3.h
 
 
PayOffBridge.cpp
PayOffBridge.cpp
 
 
PayOffBridge.h
PayOffBridge.h
 
 
README.md
README.md
 
 
Random1.cpp
Random1.cpp
 
 
Random1.h
Random1.h
 
 
Random2.cpp
Random2.cpp
 
 
Random2.h
Random2.h
 
 
SimpleMC.cpp
SimpleMC.cpp
 
 
SimpleMC.h
SimpleMC.h
 
 
SimpleMC1.h
SimpleMC1.h
 
 
SimpleMC2.cpp
SimpleMC2.cpp
 
 
SimpleMC2.h
SimpleMC2.h
 
 
SimpleMC3.cpp
SimpleMC3.cpp
 
 
SimpleMC3.h
SimpleMC3.h
 
 
SimpleMC4.cpp
SimpleMC4.cpp
 
 
SimpleMC4.h
SimpleMC4.h
 
 
SimpleMC5.cpp
SimpleMC5.cpp
 
 
SimpleMC5.h
SimpleMC5.h
 
 
SimpleMC6.cpp
SimpleMC6.cpp
 
 
SimpleMC6.h
SimpleMC6.h
 
 
SimpleMC7.cpp
SimpleMC7.cpp
 
 
SimpleMC7.h
SimpleMC7.h
 
 
SimpleMCMain1.cpp
SimpleMCMain1.cpp
 
 
SimpleMCMain2.cpp
SimpleMCMain2.cpp
 
 
SimpleMCMain3.cpp
SimpleMCMain3.cpp
 
 
SimpleMCMain4.cpp
SimpleMCMain4.cpp
 
 
StatisticsMC.cpp
StatisticsMC.cpp
 
 
StatisticsMC.h
StatisticsMC.h
 
 
StatsMain1.cpp
StatsMain1.cpp
 
 
StatsMain2.cpp
StatsMain2.cpp
 
 
Vanilla1.cpp
Vanilla1.cpp
 
 
Vanilla1.h
Vanilla1.h
 
 
Vanilla2.cpp
Vanilla2.cpp
 
 
Vanilla2.h
Vanilla2.h
 
 
Vanilla3.cpp
Vanilla3.cpp
 
 
Vanilla3.h
Vanilla3.h
 
 
VanillaMain1.cpp
VanillaMain1.cpp
 
 
VanillaMain2.cpp
VanillaMain2.cpp
 
 
VanillaMain3.cpp
VanillaMain3.cpp
 
 
VanillaMain4.cpp
VanillaMain4.cpp
 
 
Wrapper.h
Wrapper.h
 
 
stdafx.cpp
stdafx.cpp
 
 
stdafx.h
stdafx.h
 
 
targetver.h
targetver.h
 
 

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OptionsPricerCpp

Monte Carlo Pricing with extendable PayOff model

Extendable PayOff model means we can introduce various Option types easier

  • Monte Carlo pricing with Black Scholes
  • Monte Carlo pricer for path-dependent exotic derivatives use template pattern to implement pricing Asian Options

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Monte Carlo Pricing with extendable PayOff model

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montecarlo-simulation pricing-derivatives options-pricing

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