A multi-threaded Monte Carlo simulation app that approximates the prices of financial derivatives (options) via Finite-Difference Methods, the Euler and Milstein Approximations. This app leverages C++11 to C++20 language features and design concepts.
mjolewis / multi-threaded-monte-carlo-simulation-for-option-pricing Goto Github PK
View Code? Open in Web Editor NEWA multi-threaded Monte Carlo simulation app that approximates the prices of financial derivatives (options) via Finite-Difference Methods, the Euler and Milstein Approximations. This app leverages C++11 to C++20 language features and design concepts.