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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.
Prerequisitescours 2A "Modélisation et programmation" et "Introduction aux Produits Dérivés"
N1=Projet
N2=Oral
The course exists in the following branches:
Course ID : 5MMPMP6
Course language(s):
The course is attached to the following structures:
You can find this course among all other courses.
Date of update January 15, 2017
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