Skip to content
#

risk-free-rate

Star

Here are 2 public repositories matching this topic...

NiharJani2002 / Two-Factor-Option-Pricing-Basket-and-Other-Multi-Asset-Options-in-C-

Star 0

This C++ program prices multi-asset options (Basket, Rainbow, Exchange, Spread) using Monte Carlo simulation based on Geometric Brownian Motion, supporting interactive parameter input, correlation modeling via Cholesky decomposition, and sensitivity analysis.

correlation cpp simulation monte-carlo confidence-intervals option-pricing sensitivity-analysis volatility input-validation object-oriented-programming payoff cholesky-decomposition spread-option geometric-brownian-motion basket-option random-numbers multi-asset rainbow-option exchange-option risk-free-rate
  • Updated Jul 1, 2025
  • C++

NiharJani2002 / One-Factor-Black-Scholes-in-C-

Star 0

A lightweight C++ tool that prices European call and put options using the Black–Scholes formula, computes all key Greeks (Δ, Γ, Θ, Vega, Rho), and lets you run quick ATM/ITM/OTM scenario checks—all via a simple command‑line interface.

cpp vega delta gamma option-pricing theta volatility input-validation rho black-scholes european-options normal-distribution numerical-stability geometric-brownian-motion scenario-analysis interactive-interface risk-neutral greeks-calculatio risk-free-rate put-call-parity
  • Updated Jul 1, 2025
  • C++

Improve this page

Add a description, image, and links to the risk-free-rate topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the risk-free-rate topic, visit your repo's landing page and select "manage topics."

Learn more

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy