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Merge branch 'develop' of https://github.com/kevindkeogh/opt-pricer into develop

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Kevin Keogh
2017-08-13 13:20:15 -04:00
parent 6fc6544611 61be7cce04
commit 560dccfb4f
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@@ -1,7 +1,8 @@
Demonstration of a Black-Scholes Model in C Demonstration of a Black-Scholes Model in C
Note that there are two models, a pure Monte Carlo implementation Note that there are two models, a pure Monte Carlo implementation
and the closed form Black-Scholes equation. and the closed form Black-Scholes equation. Note that the code runs
multi-threaded.
To install: To install:
$ git clone https://github.com/kevindkeogh/opt-pricer.git $ git clone https://github.com/kevindkeogh/opt-pricer.git
@@ -45,4 +46,3 @@ TODO:
1. Find a C implementation for Sobol sequence so that Gamma convergence 1. Find a C implementation for Sobol sequence so that Gamma convergence
is faster is faster
2. Tests... 2. Tests...
3. Parallelize code