Project on Simulating Stock Paths and Option Prices and Dynamic Hedging along its lifetime
This Code Blocks project has 3 classes and a main file-
- main.cpp - This has the actual code implementation along with running unit test cases.
- Option class - Is the standard Option class with all its functionalities and Option attributes. Functions - BlacK Scholes price and delta calculation.
- unit_test class - Is the class that is used to run the unit test cases.
4 output files are generated from the code - Task 1
- Stock Path Simulation
- Option Price Simulation
- Hedge Error (Simulation) Task 2
- result file
5 code files in total. Location: \Dynamic-Delta-Hedging\ProjectMid6767\ProjectMid6767
There is ProjectMid6767.exe (which is Windows App) is located in \Dynamic-Delta-Hedging\ProjectMid6767\Debug\ProjectMid6767.exe which has built the project and runs the program. The .exe file can be run to implement to code.
The Jypyter notebook for analysis is at \Dynamic-Delta-Hedging\analysis_notebook.ipynb