/Option-Pricing

Primary LanguageC++MIT LicenseMIT

Option Pricing in C++

Option pricing theory provides an evaluation of an option's fair value, which traders incorporate into their trading strategy. In this project, we will use multiple models in C++ to value European Vanilla option, including the Black-Scholes, Monte Carlo, and Jump diffusion model. Then, we proceed using such models to price exotic options such as asian option, etc.