/option_pricing_pybind11

COS Method and Montercarlo simulation implementation for option pricing using pybind11.

Primary LanguageMakefileMIT LicenseMIT

option_pricing_pybind11

Option pricing library using pybind11.

Types of Option Contracts

  • European:

    • Vanilla Options
    • Exotic Options:
      • Asian

  • American:

    • Vanilla Options

Methods used:

  • Montecarlo
  • COS Method

References:

  • Al-Aradi, A., & Islam, M. A. (2021). Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes. Springer.
  • Zhang, B., & Oosterlee, C. W. (2013). Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions.
  • Kirkby, J. L. (2016). An Efficient Transform Method for Asian Option Pricing.
  • Fang, F., & Oosterlee, C. W. (2009). Pricing early-exercise and discrete barrier options by Fourier-Cosine series expansions.
  • Furrer, H. J. Longstaff-Schwartz (2001). American Options Least-Square Monte Carlo.