Module mc_engine

Structs§

mc_delta_european_call_gbm_pathwise: Monte Carlo Delta calculation using pathwise derivative method
mc_gamma_european_call_gbm_finite_diff: Monte Carlo Gamma calculation using central finite difference
mc_gamma_european_call_gbm_finite_diff_batched: Efficient batched Gamma calculation with common random numbers
mc_price_option_gbm: Monte Carlo pricing for options under Geometric Brownian Motion
mc_rho_european_call_gbm_pathwise: Monte Carlo Rho calculation using pathwise derivative method
mc_vega_european_call_gbm_pathwise: Monte Carlo Vega calculation using pathwise derivative method