FX-Quant-Pricing

Implementation of various methods to price FX derivative using the Black-Scholes Model can be found in Code.

• blackScholes.cpp: Analytical solution to the Black-Scholes model.
• finiteDifference.cpp: Utilizes the finite difference method to solve the Black-Scholes PDE.
• monteCarlo.cpp: A Monte Carlo simulation for asset prices to estimate the value of FX derivatives.

References

My first step into the world of quants was made somewhat smooth by these resources.

• Awesome implementation of BSM Model by Amit Kumar Jha.
• Finite Differencing theory, implimentation
• MC simulation
• Option Greeks