hdp

A numerical library for High-Dimensional option Pricing problems.

Included Algorithms

deep Galerkin method (~/src/blackscholes/dgm)

N-d Black Scholes equation solver; 1-d American option PDE solver

Fourier transform methods (~/src/blackscholes/fft)

Carr & Madan algorithm; N-d Conv method

Monte Carlo methods (~/src/blackscholes/mc)

N-d antithetic variates; N-d control variates; N-d Sobol sequence; 1-d importance sampling; N-d Least square Monte Carlo

PDE (~/src/blackscholes/pde)

1-d parabolic PDE solver with Dirichlet boundary condition; 1-d American option PDE solver (PSOR / penalty method); 2-d parabolic PDE solver with Dirichlet boundary condition on a rectangle domain (untested)

Micellaneous (~/src/utils, ~/src/blackscholes/utils)

The analytical solution to 1-d European option and N-d geometric average payoff European option; Helper functions for conducting numerical experiments

Reference

Z. Shen, Numerical Methods for High-Dimensional Option Pricing Problems