C++ Options Pricing Engine

A C++ model and CLI for pricing Options using the Black-Scholes and Binomial Tree methods. This project provides a simple implementation of options pricing models, allowing users to create and price different types of options.

Features

• An Option class used to model different types of options with parameters including type, exercise style and carry rate(dividend yield).
• A Black-Scholes model for pricing European options.
• A Binomial Tree model for pricing both European and American options.
• An interactive command-line interface (CLI) for creating and pricing options.

Setup

1. Clone the repository.

2. Navigate to the project directory.

3. Create a build directory and navigate into it:

   mkdir build && cd build

4. Run CMake to configure the project:

   cmake ..

5. Build the project:

   cmake --build .

6. Run the main executable:

   ./options_pricing_engine

TODO

• Add Option greeks.
• Add an interactive CLI.
• Add support for implied volatilities.
• Add plotting capabilities to visualize option pricing.
• Add new pricing models such as Monte Carlo simulation.
• Add tests for the pricing models.

References

• Options, Futures, and Other Derivatives
• Option Volatility and Pricing
• Coding Jesus