Application used to price an option under the BarbequeRTRM framework
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Updated
Jul 19, 2017 - C++
Application used to price an option under the BarbequeRTRM framework
Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.
This is a simulation project for the seconder order discretization schemes for the CIR process.
We apply Finite Element Method (FEM) for option pricing problem under Heston's Model.
The code here is used for several basic financial models and methods, including Black Scholes formula, Monte Carlo Simulation, etc. The codes in this repository are written with C#.
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