The R code of the "Sum of all Black-Scholes-Merton models" paper
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May 26, 2022 - R
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spread-option
Here are 3 public repositories matching this topic...
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
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Jul 1, 2025 - C++
An applied reproduction project on Spread option pricing and hedging using the Carmona-Durrleman approximation based on research papers.
research-project monte-carlo-simulation option-pricing research-paper research-and-development spread-option option-hedging
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Jul 15, 2024 - C++
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