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spread-option

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Idriss-Afra / CMS-Pricing-Analytics

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This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.

python cms jupyter-notebook option-pricing cms-framework fixed-income swaptions derivatives-pricing spread-option options-calculator vanilla-option-pricing quant-finance bachelier derivatives-pricing-models interest-rate-derivatives bachelier-model fixed-income-analytics hagan carr-madan constant-maturity-swap
  • Updated Mar 20, 2026
  • Jupyter Notebook

NiharJani2002 / Two-Factor-Option-Pricing-Basket-and-Other-Multi-Asset-Options-in-C-

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This C++ program prices multi-asset options (Basket, Rainbow, Exchange, Spread) using Monte Carlo simulation based on Geometric Brownian Motion, supporting interactive parameter input, correlation modeling via Cholesky decomposition, and sensitivity analysis.

correlation cpp simulation monte-carlo confidence-intervals option-pricing sensitivity-analysis volatility input-validation object-oriented-programming payoff cholesky-decomposition spread-option geometric-brownian-motion basket-option random-numbers multi-asset rainbow-option exchange-option risk-free-rate
  • Updated Jul 1, 2025
  • C++

Idriss-Afra / Black-Scholes-Pricer

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This project aims to price Simple and Exotic Options under the Black-Scholes model using Analytical and Monte-Carlo methods. Covered products : Vanilla, Digital, European Barrier, Arithmetic Asian, Spread Option, and Basket.

cplusplus cpp monte-carlo visual-studio-code derivatives numerical-methods exotic-option black-scholes cholesky-decomposition derivatives-pricing spread-option options-pricing basket-option asian-option barrier-option options-calculator vanilla-option-pricing quant-finance
  • Updated Mar 20, 2026
  • C++

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