C++ implementation of analytical models for European and Perpetual American options. Includes pricing formulas, Greeks, and sensitivity analysis based on the Black–Scholes–Merton framework.
- EuropeanOption – pricing, Greeks, and parity verification
- PerpAmericanOption – perpetual option pricing formulas
- Global – shared utility and pricing functions
- main.cpp – validation and numerical tests
- instructions.pdf - instructions for the exercise A&B (the pricer)
- C++17 or newer
- Boost (for normal distribution functions)
Some code was based, inspired and sourced on Daniel Duffy's template for Pepetual American Options.
Developed as part of C++ for Financial Engineer made in partnership between QuantNet and Baruch College. """