GitHub - cwss091/MC_BOA: Monte Carlo Structure to price BOA's option

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Name		Name	Last commit message	Last commit date
Latest commit History 1 Commit
jama125		jama125
tnt		tnt
BoxMuller.cpp		BoxMuller.cpp
BoxMuller.h		BoxMuller.h
FWP.pdf		FWP.pdf
Homework5.pdf		Homework5.pdf
IO.cpp		IO.cpp
IO.h		IO.h
InputIndex.txt		InputIndex.txt
MCEngine.h		MCEngine.h
Main.cpp		Main.cpp
OptionPay.cpp		OptionPay.cpp
OptionPay.h		OptionPay.h
Readme.txt		Readme.txt
Report_Hw5.pdf		Report_Hw5.pdf
Simulator.h		Simulator.h
mt19937ar.cpp		mt19937ar.cpp
mt19937ar.h		mt19937ar.h

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/*******************************************
* MATH 6767 HOMEWORK 5
* YULIANG LI
* GTID# 903012703
********************************************/

INPUT FILES
InputIndex.txt
	risk free interest rate
	maturity days
	dividend of S&P 500
	dividend of Russell 2000
	rate of reversion in Heston's mean reverting SDE
	volatility of Heston's mean reverting process
	mean variance of S&P 500
	mean variance of Russell 2000
	initial price of S&P 500
	initial price of Russell 2000
	initial volatility of S&P 500
	initial volatility of Russell 2000