Option pricing models implemented in Python and C++, with a focus on accuracy, convergence and runtime performance.
Use Python for prototyping, analysis and validation, and C++ for performance-critical numerical implementations.
| Status | Module | Focus |
|---|---|---|
| Planned | Black-Scholes | Analytical benchmark |
| Planned | Binomial Tree | Discrete-time pricing and convergence |
| Planned | Monte Carlo | Simulation and performance comparison |
| Planned | Finite Difference PDE | Numerical solution of the Black-Scholes PDE |
| Planned | Thesis Extension | PDE pricing with banded / piecewise volatility |
Theory
→ Python prototype
→ C++ implementation
→ accuracy comparison
→ performance benchmark
→ interpretation
Python | NumPy | pandas | matplotlib | C++ | Git
Initial setup.