Ayomide @Complex_Ay
Quant dev||Mathematician||Half a decade experience in the financial market instagram.com/i_am_ayomide_2… Lagos, Nigeria Joined August 2022-
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Box muller transform based on the code for the pricers
Box muller transform based on the code for the pricers https://t.co/GICtPXwCbi
Ramanujan partial sum beating Euler's equation sounds funny to me....
Ramanujan partial sum beating Euler's equation sounds funny to me....
a lot of people dabble in c++, but very few go deep. if you want to master it for robotics, embedded, game engines, or high-performance systems, you need a roadmap that takes you from syntax to mastery. here’s a path that works: 1. foundations syntax, variables, loops, functions…
Do i still get a fields medal of i use it for P vs NP?
Do i still get a fields medal of i use it for P vs NP?
One of the most significant math implemented in the European options pricer and the digital options pricer is the Box-Muller Transforms....... Mathematical Analogy coming soon
Code structure for the digital option pricer **Use of Header Files and Namespace *"Random Number Generator(Box-Muller Transform) **Modified Pricing Function(Double digital option) *"Modified Main Function(Input Interface)
It should be noted that a double digital option that pays a fixed amount if the underlying asset's price at expiry falls between two barrier levels(lower and upper barriers) levels can be written as B =[U,L] Where L <= spot_at_expiry <= U Payoff = Fixed amount Else: Payoff = 0
It should be noted that a double digital option that pays a fixed amount if the underlying asset's price at expiry falls between two barrier levels(lower and upper barriers) levels can be written as B =[U,L] Where L <= spot_at_expiry <= U Payoff = Fixed amount Else: Payoff = 0
*Enhanced output formatting with probability calculation *Removing strike price since it won't be needed for digital options
*Enhanced output formatting with probability calculation *Removing strike price since it won't be needed for digital options
Quant dev:If you're going to adjust the code for your European option pricer to a digital options pricer What are the changes expected to be made? Me: *Updating variable declarations to include barriers and payout *Modify input prompt to collect double digital option parameters
This yields the discounted risk-neutral expectation of the payoff, which is the theoretical fair price under no-arbitrage assumptions.
This yields the discounted risk-neutral expectation of the payoff, which is the theoretical fair price under no-arbitrage assumptions.
It simulates many possible future paths of the asset price at expiration (S_T), computes the put payoff max(K - S_T, 0) for each path, averages these payoffs, and discounts the result back to the present using e^{-rT}
It simulates many possible future paths of the asset price at expiration (S_T), computes the put payoff max(K - S_T, 0) for each path, averages these payoffs, and discounts the result back to the present using e^{-rT}
Basically, the function SimpleMonteCarloPut takes key inputs Expiry (T, time to maturity in years), Strike (K), Spot (S_0, current asset price), Vol (σ, annualized volatility), r (risk free interest rate), & NumberOfPaths (N, number of simulation paths) & outputs an estimated put
Basically, the function SimpleMonteCarloPut takes key inputs Expiry (T, time to maturity in years), Strike (K), Spot (S_0, current asset price), Vol (σ, annualized volatility), r (risk free interest rate), & NumberOfPaths (N, number of simulation paths) & outputs an estimated put
The pricer uses a Monte Carlo simulation method to approximate this value numerically, rather than relying on a closed-form analytical formula like the Black-Scholes-Merton (BSM) equation.
The pricer uses a Monte Carlo simulation method to approximate this value numerically, rather than relying on a closed-form analytical formula like the Black-Scholes-Merton (BSM) equation.
The put options pricer in the code is an algorithm designed to estimate the fair market value (premium) of a European put option a financial derivative that grants the holder the right (but not the duty) to sell a security (e.g., a stock) at a strike price (K) on an end date
The put options pricer in the code is an algorithm designed to estimate the fair market value (premium) of a European put option a financial derivative that grants the holder the right (but not the duty) to sell a security (e.g., a stock) at a strike price (K) on an end date
Comprehensively explain the function of the put options pricer and what is deigned for and why we use each of the math implemented in the c++ code
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