59656900da1d6c8a1e5b122cd907e4152f23cc55
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
Description
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C++
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C
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Makefile
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