2nd year project at ENSAE Paris. The aim of the project was to exploit the object-oriented programming features of C++. (Classes, Encapsulation, Inheritance and Polymorphism - Pointers and References).
Grade : 18/20
Topic : option pricing under the Black-Scholes model. (see more below and in the file report_FR.pdf)
Contributors :
- Justin Ruelland
- Louis Geist
In the framework of the Black-Scholes model, this project performs :
- the pricing of :
- European options on the underlying with or without dividends (using the explicit Black-Scholes formula),
- American options (by the method of Longstaff and Schwartz),
- Asian options (by the method of Monte-Carlo),
- the display of the replication strategy of options (European on underlying with or without dividends - use of the call-put parity)
