AnjishtGosain/DerivativesPricing

This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm to back-solve model parameters given market data (read from JSON).

语言：C++ · GitHub 星标：9 · Fork：3

话题：american-options · black-scholes-merton · derivatives-pricing · differential-evolution · equity-derivatives · european-options · jump-diffusion · monte-carlo

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