This is the simulation project barrier-and-look-back-options
of team 3 at Imperial College London in the MSc in Mathematics and Finance. This project is part of the Simulation Methods in Finance (M5MF4) course and is carried under the supervision of Professor Harry Zheng.
Our project includes the following features.
- Compute the European call option, the barrier option and the look-back price
- Compute the European call option, the barrier option and the look-back option greeks:
- delta
- gamma
- vega
- Provide statistical information
You can either use the Windows application, or use our c++ package.
Please see the specific documentation in the /app
directory.
Please see the specific documentation in the /src
directory.
The team includes the following members, with the associated GitHub identifiers.
Name | GitHub id |
---|---|
Thomas Espel | tjespel |
Konstantin Kulak | suncomer |
Callum MacIver | maciverc |
Vera Zhang | xuanverazhang |
ZhenTian Qiu | qingwa901 |