/simulation-based-pricing

Monte Carlo Simulation Option Pricing application in various programming languages and Excel

Primary LanguageJupyter NotebookMIT LicenseMIT

Monte Carlo Option Pricing Codes

Python Monte Carlo Pricing Application with:

  1. Confidence Intervals
  2. Antithetical Draws (averaging reduces variance)
  3. Numerical Greeks (Derivatives) by shifts
  4. Simulated forward prices
  5. Simulated Spread Option prices
  6. Correlated GBM

Alienating Swift to write a Monte Carlo Simulation Option Pricing application.

Matlab Monte Carlo Pricing based on geometric Brownian Motion