/lattice-option-pricer

Small framework to price one factor options using binomial lattices

Primary LanguageC++

Lattice option pricer

Small framework to price one factor options using binomial lattices.

This project is part of my computational finance and C++ studies.

The design uses the layered approach:

  1. Layer 1 - Lattice model
  2. Layer 2 - Back and forward induction
  3. Layer 3 - Model and pricing functions

Asset/option calculation implements the Trigeorgis (TRG) model:

Trigeorgis model (TRG)

The lattice is implemented using boost UBLAS triangular matrix.