2017-07-28 21:19:27 -04:00
2017-07-28 21:19:27 -04:00
2017-07-27 23:04:05 -04:00
2017-04-02 21:53:16 -04:00
2017-07-28 21:19:27 -04:00

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...
 3. Parallelize code
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