croquelois / BlackScholesMC-TF

BlackScholes Model, with Montecarlo implmented in python with TensorFlow

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MonteCarlo with Black-Scholes

It's just a proof of concept of using TensorFlow to compute quantitative finance problems

  • Model: Black-Scholes
  • Method: Monte Carlo
  • Language: Python with TensorFlow

It does roughly 200 montecarlo by second on a digitalOcean 2 core droplet (Intel(R) Xeon(R) CPU E5-2630L v2 @ 2.40GHz)

error

speed

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BlackScholes Model, with Montecarlo implmented in python with TensorFlow


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