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black-scholes-merton

Here are 6 public repositories matching this topic...

AnjishtGosain / DerivativesPricing

This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm…

monte-carlo quantitative-finance differential-evolution american-options jump-diffusion european-options derivatives-pricing black-scholes-merton equity-derivatives

Updated Oct 10, 2020
C++

asancdec / Monte-Carlo-Option-Pricer

(C++) Monte Carlo Option Pricer with Euler-Maruyama Discretization

cpp monte-carlo-simulation quantitative-finance financial-engineering black-scholes-merton euler-maruyama-scheme

Updated Oct 2, 2024
C++

asancdec / Batch-Option-Pricer

(C++) Batch Option Pricer with Analytical and Numerical Sensitivities

cpp option-pricing quantitative-finance financial-engineering black-scholes-merton

Updated Oct 7, 2024
C++

n-alex-goncalves / OptionsPricingCalculator

A short C++ calculator for pricing European call options using the Black-Scholes model.

options cpp black-scholes options-trading black-scholes-merton

Updated Jul 20, 2023
C++

SaraPeyko / EuropeanOptionPricing

Testing BS option pricing models

option-pricing black-scholes-merton

Updated Apr 21, 2021
C++

KonstantinQuant / exact-pricing-cpp

Black-Scholes-Merton Option Pricing application with Greeks written in C++

statistics cplusplus pricing-derivatives blackscholes black-scholes-merton

Updated Oct 8, 2021
C++

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