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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basket-option
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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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Updated
Jul 1, 2025 - C++
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