The R code of the "Sum of all Black-Scholes-Merton models" paper
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May 26, 2022 - R
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spread-option
Here are 5 public repositories matching this topic...
This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.
python cms jupyter-notebook option-pricing cms-framework fixed-income swaptions derivatives-pricing spread-option options-calculator vanilla-option-pricing quant-finance bachelier derivatives-pricing-models interest-rate-derivatives bachelier-model fixed-income-analytics hagan carr-madan constant-maturity-swap
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Mar 20, 2026 - Jupyter Notebook
An applied reproduction project on Spread option pricing and hedging using the Carmona-Durrleman approximation based on research papers.
research-project monte-carlo-simulation option-pricing research-paper research-and-development spread-option option-hedging
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Jul 15, 2024 - C++
This C++ program prices multi-asset options (Basket, Rainbow, Exchange, Spread) using Monte Carlo simulation based on Geometric Brownian Motion, supporting interactive parameter input, correlation modeling via Cholesky decomposition, and sensitivity analysis.
correlation cpp simulation monte-carlo confidence-intervals option-pricing sensitivity-analysis volatility input-validation object-oriented-programming payoff cholesky-decomposition spread-option geometric-brownian-motion basket-option random-numbers multi-asset rainbow-option exchange-option risk-free-rate
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Jul 1, 2025 - C++
This project aims to price Simple and Exotic Options under the Black-Scholes model using Analytical and Monte-Carlo methods. Covered products : Vanilla, Digital, European Barrier, Arithmetic Asian, Spread Option, and Basket.
cplusplus cpp monte-carlo visual-studio-code derivatives numerical-methods exotic-option black-scholes cholesky-decomposition derivatives-pricing spread-option options-pricing basket-option asian-option barrier-option options-calculator vanilla-option-pricing quant-finance
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Mar 20, 2026 - C++
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