https://github.com/liyishuai/bsde

Option pricing with BSDE and Monte Carlo method
https://github.com/liyishuai/bsde

Last synced: 29 days ago
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Option pricing with BSDE and Monte Carlo method

• Host: GitHub
• URL: https://github.com/liyishuai/bsde
• Owner: liyishuai
• License: gpl-3.0
• Created: 2017-01-21T22:35:07.000Z (about 8 years ago)
• Default Branch: master
• Last Pushed: 2020-07-30T15:59:52.000Z (over 4 years ago)
• Last Synced: 2024-11-13T08:37:53.071Z (2 months ago)
• Language: C++
• Homepage:
• Size: 81.1 KB
• Stars: 3
• Watchers: 4
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# Option pricing with BSDE and Monte Carlo method

## Introdution

This project is to implement [Parallel Option Pricing with BSDE Method on GPU] and analyze its performance. More mathematical background can be found in [Backward Stochastic Differential Equations in Finance].

## How to use

### Build

    cmake .

    make all

### Execute

* `test_*.sh` runs a single implementation

* `make test` runs all four implementations

[Parallel Option Pricing with BSDE Method on GPU]:https://doi.org/10.1109/GCC.2010.47

[Backward Stochastic Differential Equations in Finance]:https://doi.org/10.1111/1467-9965.00022