mtsokol / AdjointMonteCarlo

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Monte Carlo Simulation and adjoint Greeks

Use CppAD for calculation of greeks (sensivities) doing Monte Carlo Simulation.

  • Option Picing with classical Monte Carlo Simulation and calculation of greeks using automatic differation.
  • Pricing of bermudan option with longstaff schwartz and use automatic differentation
  • Exposure simulation for an portfolio of options and calculation of sensivities

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