Monte Carlo Options Pricing Engine
Thousands of simulated futures for one option price, in C++.
Status: Archived
What it does
The Monte Carlo Options Pricing Engine is written in C++. It prices an option from many simulated futures and is checked against Black-Scholes.
My role
I designed and built it myself.
Stack
- C++
Highlights
- Validated against Black-Scholes.
- Antithetic variates reduced variance by about 24%.