Pricing Path-Dependent Lookback and Arithmetic Asian Options Using CRR and Monte Carlo

Table of Contents

• Installation
• Arithmetic Asian Option Pricing
• Lookback Option Pricing
• License

Installation

To use this project, ensure you have a C++ compiler installed on your machine. The project relies on standard libraries and does not require additional dependencies. Follow these steps to set up the project:

1. Clone the repository:

   git clone https://github.com/dkp116/PathDependant-Options-Binomial-Model.git
   
   

2. Navigate into the project directory and compile the source code:

   cd PathDependant-Options-Binomial-Model
   make

3. Run the executable:

   ./Main01

Arithmetic Asian Option Pricing

The code includes two pricing algorithms for arithmetic Asian options:

1. CRR (Cox-Ross-Rubinstein) Method: A binomial tree model.
2. Monte Carlo Simulation: A statistical approach.

Example Code

To price an Arithmetic Asian Call option, use the following code:

BinModel Model;
if (Model.GetInputData() == 1) return 1;

BinLatticeDep<double> Tester1;

ArthAsianCall Opt;  // Create an instance of the Arithmetic Asian Call option
Opt.GetInput();     // Input stock price, up/down factors, and risk-free rate
Opt.PriceByCRR(Tester1, Model); // Price using CRR method
Opt.PriceByMC(Model, 1000);     // Price using Monte Carlo Simulation

LookBack Option Pricing

To price a Lookback option, simply switch to the LookBack class:

Example Code

BinModel Model;
if (Model.GetInputData() == 1) return 1;

BinLatticeDep<double> Tester1;

LookBack Opt;  // Create an instance of the Lookback option
Opt.GetInput(); // Input stock price, up/down factors, and risk-free rate
Opt.PriceByCRR(Tester1, Model); // Price using CRR method
Opt.PriceByMC(Model, 1000);     // Price using Monte Carlo Simulation

License

This project is licensed under the MIT License. See the LICENSE file for more details.