Complete all Greek calculations for BS and MC, add README

This commit is contained in:
Kevin Keogh
2017-07-27 23:01:03 -04:00
parent 785c546ba3
commit a28df367bf
5 changed files with 104 additions and 43 deletions

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README Normal file
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Demonstration of a black-scholes model in C
Note that there are two models, a pure Monte Carlo implementation
and the closed form black scholes equation.
Recommended number of simulations is 100,000,000 for Gamma convergence, the
other Greeks converge by 1,000,000.
TODO:
1. Find a C implementation for Sobol sequence so that Gamma convergence
is faster
2. Tests...