This C++ project conducts Monte Carlo Simulation in option pricing based on multi-threading and antithetic control variate to improve the efficiency of both running and estimating
License: MIT License
This C++ project conducts Monte Carlo Simulation in option pricing based on multi-threading and antithetic control variate to improve the efficiency of both running and estimating
In the main function results of ordinary Monte Carlo, multi-thread Monte Carlo and Antithetic Monte Carlo will be calculated. It shows that using multi-threading is the fastest.
And last we estimate the standard deviation to show that Antithetic Monte Carlo is the most efficient estimator.
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