OptionsPricerCpp

Monte Carlo Pricing with extendable PayOff model

Extendable PayOff model means we can introduce various Option types easier

Monte Carlo pricing with Black Scholes
Monte Carlo pricer for path-dependent exotic derivatives use template pattern to implement pricing Asian Options

Name		Name	Last commit message	Last commit date
Latest commit History 9 Commits
.vs		.vs
.gitignore		.gitignore
AntiThetic.cpp		AntiThetic.cpp
AntiThetic.h		AntiThetic.h
Arrays.cpp		Arrays.cpp
Arrays.h		Arrays.h
ConvergenceTable.cpp		ConvergenceTable.cpp
ConvergenceTable.h		ConvergenceTable.h
EquityFXMain.cpp		EquityFXMain.cpp
ExoticBSEngine.cpp		ExoticBSEngine.cpp
ExoticBSEngine.h		ExoticBSEngine.h
ExoticEngine.cpp		ExoticEngine.cpp
ExoticEngine.h		ExoticEngine.h
Main.cpp		Main.cpp
Main.h		Main.h
Normals.cpp		Normals.cpp
Normals.h		Normals.h
OptionsPricer.sln		OptionsPricer.sln
OptionsPricer.vcxproj		OptionsPricer.vcxproj
OptionsPricer.vcxproj.filters		OptionsPricer.vcxproj.filters
OptionsPricer.vcxproj.user		OptionsPricer.vcxproj.user
Parameters.cpp		Parameters.cpp
Parameters.h		Parameters.h
ParkMiller.cpp		ParkMiller.cpp
ParkMiller.h		ParkMiller.h
PathDependent.cpp		PathDependent.cpp
PathDependent.h		PathDependent.h
PathDependentAsian.cpp		PathDependentAsian.cpp
PathDependentAsian.h		PathDependentAsian.h
PayOff1.cpp		PayOff1.cpp
PayOff1.h		PayOff1.h
PayOff2.cpp		PayOff2.cpp
PayOff2.h		PayOff2.h
PayOff3.cpp		PayOff3.cpp
PayOff3.h		PayOff3.h
PayOffBridge.cpp		PayOffBridge.cpp
PayOffBridge.h		PayOffBridge.h
README.md		README.md
Random1.cpp		Random1.cpp
Random1.h		Random1.h
Random2.cpp		Random2.cpp
Random2.h		Random2.h
SimpleMC.cpp		SimpleMC.cpp
SimpleMC.h		SimpleMC.h
SimpleMC1.h		SimpleMC1.h
SimpleMC2.cpp		SimpleMC2.cpp
SimpleMC2.h		SimpleMC2.h
SimpleMC3.cpp		SimpleMC3.cpp
SimpleMC3.h		SimpleMC3.h
SimpleMC4.cpp		SimpleMC4.cpp
SimpleMC4.h		SimpleMC4.h
SimpleMC5.cpp		SimpleMC5.cpp
SimpleMC5.h		SimpleMC5.h
SimpleMC6.cpp		SimpleMC6.cpp
SimpleMC6.h		SimpleMC6.h
SimpleMC7.cpp		SimpleMC7.cpp
SimpleMC7.h		SimpleMC7.h
SimpleMCMain1.cpp		SimpleMCMain1.cpp
SimpleMCMain2.cpp		SimpleMCMain2.cpp
SimpleMCMain3.cpp		SimpleMCMain3.cpp
SimpleMCMain4.cpp		SimpleMCMain4.cpp
StatisticsMC.cpp		StatisticsMC.cpp
StatisticsMC.h		StatisticsMC.h
StatsMain1.cpp		StatsMain1.cpp
StatsMain2.cpp		StatsMain2.cpp
Vanilla1.cpp		Vanilla1.cpp
Vanilla1.h		Vanilla1.h
Vanilla2.cpp		Vanilla2.cpp
Vanilla2.h		Vanilla2.h
Vanilla3.cpp		Vanilla3.cpp
Vanilla3.h		Vanilla3.h
VanillaMain1.cpp		VanillaMain1.cpp
VanillaMain2.cpp		VanillaMain2.cpp
VanillaMain3.cpp		VanillaMain3.cpp
VanillaMain4.cpp		VanillaMain4.cpp
Wrapper.h		Wrapper.h
stdafx.cpp		stdafx.cpp
stdafx.h		stdafx.h
targetver.h		targetver.h

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