This repository contains C++ code for different models for Options Pricing Models incldue Black Scholes, Binomial method, trinomial method for American, Europial option and corresponding Barrier (exotic) optionse. Portfolio.cpp contains code for computing the optimal investment portfolio given different Fixed income Bonds that maximize total portfolio convexity.
Practise set folder contains some basic problems that might be useful in order to understand the options pricing models. This includes recursion and backtracking based problems such as NQueens, Dutch Sudoku, stable marriage problem, etc. Moreoever, there is code for Coin Toss simulationa and computing mean of Cauchy Random Variable using simulation.
Notes:
- Each code sample (except 2) has a
.hand.cppfile. The header file contains all function definitions. Thecppfile acts like a main.cpp. - Some codes require you to install gurobi and replace the include path accordingly
- For drawing graphs, I have used the Sciplot library and you may have to install it for some of the simulation codes.