Monte Carlo GBM pricer with antithetic variates and optional control variate. More...

Classes
struct	GreeksResult
	Monte Carlo Greeks result (mean/SE/CI per estimator). More...

struct	McParams

struct	McResult
	Monte Carlo pricing result. More...

struct	McStatistic
	Summary of a Monte Carlo estimator (mean, standard error, 95% CI) More...

Functions
bool	control_variate_enabled (bool request, const BarrierSpec &spec)

GreeksResult	greeks_european_call (const McParams &p)

McResult	price_barrier_option (const McParams &base, double strike, OptionType opt, const BarrierSpec &barrier)

McResult	price_european_call (const McParams &p)

Detailed Description

Monte Carlo GBM pricer with antithetic variates and optional control variate.

Monte Carlo pricing for barrier options.

Function Documentation

◆ control_variate_enabled()

bool quant::mc::control_variate_enabled	(	bool	request,
		const BarrierSpec &	spec
	)

◆ greeks_european_call()

GreeksResult quant::mc::greeks_european_call ( const McParams & p )

Monte Carlo Greeks under GBM.

Delta, Vega: pathwise estimators
Gamma: exposes both pure LRM and the lower-variance mixed estimator
Theta: finite-difference in time using common random numbers

◆ price_barrier_option()

McResult quant::mc::price_barrier_option	(	const McParams &	base,
		double	strike,
		OptionType	opt,
		const BarrierSpec &	barrier
	)

Price a barrier option via Monte Carlo. The control variate is disabled for knock-in structures even if requested, to avoid bias from parity mismatches.

◆ price_european_call()

McResult quant::mc::price_european_call ( const McParams & p )

Price European call via terminal payoff; uses streaming for cache friendliness.

Uses GBM analytic terminal distribution, optional antithetic and control variates. Supports Sobol quasi Monte Carlo sequences (with optional scramble) and Brownian bridge ordering when num_steps > 1.