https://github.com/cantaro86/pricingandmore

https://github.com/cantaro86/pricingandmore

Last synced: 3 days ago
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• Host: GitHub
• URL: https://github.com/cantaro86/pricingandmore
• Owner: cantaro86
• Created: 2024-07-27T17:15:18.000Z (4 months ago)
• Default Branch: main
• Last Pushed: 2024-08-03T22:08:46.000Z (3 months ago)
• Last Synced: 2024-08-04T22:27:43.314Z (3 months ago)
• Language: C++
• Size: 157 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
Just a repo for my testing of C++

It includes 

- Binary option pricer for European and American options. 

  It uses Monte Carlo, Finite differences methods and Finite Elements methods.

- The discretization for FEM is described in docs. For the FEM approach, I first map the problem to 

  a heat equation and then use the FEM discretization.

- A closed formula (non-recursive) for the Fibonacci numbers.