paolodelia99 spread-option-pricing issues - Githubissues

paolodelia99 / spread-option-pricing

Pricing spread option where the underlying as following a GBM using the margrabe formula and MC methods.

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14 unique ptr in spreadmarketdata

#16 paolodelia99 closed 2 weeks ago
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13 kirks approximation

#15 paolodelia99 closed 3 weeks ago
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usage of unique_ptr in SpreadMarketData

#14 paolodelia99 closed 2 weeks ago
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Modified Kirk’s Approximation for `GBMSpreadOption`

#13 paolodelia99 closed 3 weeks ago
1
11 multithreading monte carlo

#12 paolodelia99 closed 3 weeks ago
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Improve Monte Carlo Price Engine by Leveraging Multithreading

#11 paolodelia99 closed 3 weeks ago
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#9: used floating_points instead of typename for template classes

#10 paolodelia99 closed 1 month ago
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Using floating_point concept instead of typename

#9 paolodelia99 closed 1 month ago
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Merging small changes (Clang and references)

#8 paolodelia99 closed 2 months ago
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Build scripts and Github actions

#7 paolodelia99 closed 4 months ago
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Setting up build scripts and CI/CD pipelines with github actions

#6 paolodelia99 closed 4 months ago
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Monte Carlo engine for GBMSpreadOption

#5 paolodelia99 closed 4 months ago
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MC Engine with plain C++

#4 paolodelia99 closed 4 months ago
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#1: leveraged the _getDeltas for gammas calculations

#3 paolodelia99 closed 4 months ago
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MC Engine using CUDA

#2 paolodelia99 opened 4 months ago
3
Greeks code refactoring

#1 paolodelia99 closed 4 months ago
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