Options pricing tool written in C++. Supports pricing the following options with a multithreaded Monte Carlo simulation utilising geometric Brownian motion.
- Vanilla call
- Call with squared payoff
- Vanilla put
- Put with squared payoff
- Chooser option
- Lookback put
- Lookback call
- Fixed Strike Arithmetic put
- Fixed Strike Arithmetic call
- Fixed Strike Arithmetic lookback
- Fixed Strike Geometric put
- Fixed Strike Geometric call
- Fixed Strike Geometric lookback
*Multithreading support by default takes the max number of cores provided by the CPU, this can be overwritten with the thread_override parameter.
TODO: American options, pricing with the binomial method and pricing options more efficiently with monte carlo and the binomial method by exploiting GPU programming.