14 lines
396 B
Plaintext
14 lines
396 B
Plaintext
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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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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TODO:
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1. Find a C implementation for Sobol sequence so that Gamma convergence
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is faster
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2. Tests...
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3. Parallelize code
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