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| author | Shivesh Mandalia <shivesh.mandalia@outlook.com> | 2020-03-21 17:30:06 +0000 |
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| committer | Shivesh Mandalia <shivesh.mandalia@outlook.com> | 2020-03-21 17:30:06 +0000 |
| commit | c5df1cb77e6e40f701ecf002687d7b3932b28d8f (patch) | |
| tree | 03535770c6510eb22230049403daf6a41c5cc392 /README.md | |
| download | MCOptionPricing-c5df1cb77e6e40f701ecf002687d7b3932b28d8f.tar.gz MCOptionPricing-c5df1cb77e6e40f701ecf002687d7b3932b28d8f.zip | |
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diff --git a/README.md b/README.md new file mode 100644 index 0000000..0fe26cc --- /dev/null +++ b/README.md @@ -0,0 +1,22 @@ +# Exotic options by Monte Carlo + + + +B.7 Project 5 from Mark Joshi's "The Concepts and practice of mathematical finance", published by Cambridge University Press. + +### Features +* **Arithmetic Asian options** +* **Discrete barrier options** +* **Antithetic variates** + +### Dependencies +* [`Python`](https://www.python.org/) >= 3.7 + +### Usage +``` +python run.py +``` + +To see an example of the output see `output.txt`. + +By Shivesh Mandalia https://shivesh.org |