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hestonmodel

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lyndskg / black-scholes-cpp

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A UI-friendly program calculating Black-Scholes options pricing with advanced algorithms incorporating option Greeks, IV, Heston model, etc. Reads input from users, files, databases, and real-time, external market feeds (e.g. APIs).

cpp makefile optimization market-data low-latency hft-trading optimization-algorithms black-scholes implied-volatility blackscholes cpp20 options-trading heston-model brownian-motion options-pricing hestonmodel option-greeks stochastic-volatility black-scholes-model
  • Updated Apr 13, 2024
  • C++

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