The R code of the "Sum of all Black-Scholes-Merton models" paper
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May 26, 2022 - R
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basket-option
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C# pricing engine for basket options using Monte Carlo simulation, including multi-asset payoff valuation and Greeks (Delta, Gamma, Vega, Theta, Rho).
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Feb 19, 2026 - C#
This C++ program prices multi-asset options (Basket, Rainbow, Exchange, Spread) using Monte Carlo simulation based on Geometric Brownian Motion, supporting interactive parameter input, correlation modeling via Cholesky decomposition, and sensitivity analysis.
correlation cpp simulation monte-carlo confidence-intervals option-pricing sensitivity-analysis volatility input-validation object-oriented-programming payoff cholesky-decomposition spread-option geometric-brownian-motion basket-option random-numbers multi-asset rainbow-option exchange-option risk-free-rate
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Jul 1, 2025 - C++
This project aims to price Simple and Exotic Options under the Black-Scholes model using Analytical and Monte-Carlo methods. Covered products : Vanilla, Digital, European Barrier, Arithmetic Asian, Spread Option, and Basket.
cplusplus cpp monte-carlo visual-studio-code derivatives numerical-methods exotic-option black-scholes cholesky-decomposition derivatives-pricing spread-option options-pricing basket-option asian-option barrier-option options-calculator vanilla-option-pricing quant-finance
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Mar 20, 2026 - C++
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