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README
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README
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Demonstration of a black-scholes model in C
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Demonstration of a Black-Scholes Model in C
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Note that there are two models, a pure Monte Carlo implementation
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and the closed form black scholes equation.
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and the closed form Black-Scholes equation.
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Recommended number of simulations is 100,000,000 for Gamma convergence, the
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other Greeks converge by 1,000,000.
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