项目作者： briancsavage
项目描述 ：
Option Pricing Calculator built on a Monte Carlo type simulation using Geometric Brownian motion and Jump Diffusion models
高级语言： C
项目地址: git://github.com/briancsavage/Option-Pricing-Model.git
Option-Pricing-Model
Does
- Run the compiled executable to forecast the option’s price at maturity and cross-references with market option price to find largest arbitrage opportunity
- Uses Geometric Brownian Motion (GBM) and Jump Diffusion stochastic progresses to model the distribution of returns for a stock, then randomly pulls a daily return values for each time step of the simulation and computes the average return of all run simulations
Usage
./executable `path-to-csv`
Notes
- CSV file must be formatted according to Yahoo Finance’s Historical Datasets
