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Design and Implementation of a Monte Carlo pricer in C++
The goal is to design and implement an option pricer for multi-asset products in the Black Scholes model. This project is a first approach to the implementation of Monte Carlo algorithms. This project is used in several other courses.Prerequisites
cours 2A "Modélisation et programmation" et "Introduction aux Produits Dérivés"
The course exists in the following branches:
Course ID : 5MMPMP6
The course is attached to the following structures:
You can find this course among all other courses.
Date of update January 15, 2017