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Commits on Dec 16, 2024

• Working on PIDE and Subordinators: to be completed...

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  539054f

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• Add TODO

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Commits on Aug 17, 2024

• Rename PDE example files

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Commits on Aug 16, 2024

• Implement PDE Pricing for AM option with PSOR algorithm

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Commits on Aug 8, 2024

• Implement PDE pricing for UE option (also barrier) and also computation with the SOR alghoritm.

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  0852869

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Commits on Jul 29, 2024

• Implement MC for American Options

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Commits on Jul 28, 2024

• Adding Example file for barrier UE options

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• minor changes

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  e5b8f8d

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• Implement support for barrier option, fix put option, minor fix

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  712790e

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• Implement FFT - CarrMandan UE option pricing

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Commits on Jul 26, 2024

• Delete strike (it is not necessary for asian floating strike) + adding variance reduction

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  ceb083b

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• Delete strike (it is not necessary for asian floating strike) + adding variance reduction examples

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  committed
  aaba665

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• minor fix

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Commits on Jul 25, 2024

• Make them consistents

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Commits on Jul 24, 2024

• Add Examples file

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• Fix. It works

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Commits on Jul 20, 2024

• Split examples

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Commits on May 5, 2024

• bug fix

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• Implement AsianOptPriceMC function

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  f4c900b

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• Implement Asian Option MC

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  33fe2d0

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• Update for Antitetich var

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  21bc3d6

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• Bug fix

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  407b927

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• Bugfix. Reorder argument

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  e3f3d5c

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• Implements Antitetich Var support

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  575f118

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• Update comments

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  2d0917b

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• Add comments

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  602b8b3

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• update to support new process simulation implementation

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• Delete... Now there is SimAssetPrice

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  72abd5d

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• Implement function for price process sim

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• Chekout. Revert to previos version (with old names) to implement the function for the Price Process simulation.

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Commits on May 4, 2024

• Create README.md

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  authored
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• Implement function UEOptPriceMC

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• Add file with MC pricing examples

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• Change arguments order. Checked

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• Change names

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