Skip to content

Milkistasty/ICM286-Option-Pricing

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

6 Commits
 
 
 
 
 
 
 
 
 
 

Repository files navigation

Option Pricing Project

Final C++ project for ICM286: Advanced Derivatives Modeling (Taught by Dr Naoufel El Bachir @ UoR, Fall 2018)

It aims to introduce models beyond Black-Scholes to price non-vanilla instruments.

Features include:

  1. Characterize and compare different methods and frameworks used to price exotic derivatives
  2. Derive the price, assuming different methods, for a variety of equity and FX, interest rate and credit derivatives

Course Structure

About

No description, website, or topics provided.

Resources

License

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published