蒙特卡罗方差减少
2016-08-23
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Financial assets are simulated using Black-Scholes model :
- lognormality is assumed and only value at maturity is randomly drawn (only for path-independant payoffs)
or
- stochastic differential equation is used to simulate complete process step by step (slower but necessary for path-dependant payoffs)
Different options can be priced: {call, put}x{vanilla, lookback, parisian, parasian}. Random values are computed multiple times to obtain a mean value and an experimental standard deviation.
Everything is coded in C++ using object oriented programming principles.
The main program exports its results on the standard output or in a file but a simple R script is given to visualize quickly some outputs. In addition, to change parameters you must essentially modify it in source code and compile : Visual Studio have been used but everything else should be ok, maybe with minor changes. There is no dependencies excepted wit
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