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european-options

Here are 5 public repositories matching this topic...

pmontalb / FiniteDifferencePricing

A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function

dividend american-options green-funciton european-options finite-difference-schemes

Updated Jun 1, 2018
C++

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…

monte-carlo quantitative-finance differential-evolution american-options jump-diffusion european-options derivatives-pricing black-scholes-merton equity-derivatives

Updated Oct 10, 2020
C++

xnd-r / BlackScholesOptionPricingModel

A scientific work focused on the studying of financial market modeling

differential-equations stochastic-processes black-scholes european-options

Updated Jun 11, 2019
C++

RobertMorey / CppFiniteDifference

Finite Difference Method for options pricing (European and American) in C++ (Explicit only)

american-options european-options finite-difference-method options-pricing vanilla-option-pricing

Updated Mar 2, 2024
C++

tomespel / barrier-and-look-back-options

This package allows you to perform various computations on European call options, barrier options and look-back options in the C++ language.

finance monte-carlo option-pricing black-scholes european-options greeks

Updated Mar 19, 2018
C++

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