Skip to content

FEATURE: adding monte carlo simulations#49

Merged
chemardes merged 6 commits intoGPUEngineering:mainfrom
chemardes:feature/implement-monte-carlo-simulations
Mar 27, 2025
Merged

FEATURE: adding monte carlo simulations#49
chemardes merged 6 commits intoGPUEngineering:mainfrom
chemardes:feature/implement-monte-carlo-simulations

Conversation

@chemardes
Copy link
Copy Markdown
Collaborator

@chemardes chemardes commented Mar 22, 2025 •
edited
Loading

Changes:

  • added historical stock price data
  • added monte carlo simulations
  • added black scholes formula
  • calculates annualised volatility (handles trading gaps) and drift
  • added util to plot gpu solver results

@chemardes chemardes self-assigned this Mar 22, 2025
@chemardes chemardes requested review from alphaville and debdal6 March 22, 2025 17:07
@chemardes chemardes linked an issue Mar 22, 2025 that may be closed by this pull request
Monte Carlo simulations: from GBM to option pricing #43
Closed
@chemardes chemardes marked this pull request as ready for review March 27, 2025 15:05
@chemardes chemardes merged commit 0b964b7 into GPUEngineering:main Mar 27, 2025
1 check passed
@chemardes chemardes deleted the feature/implement-monte-carlo-simulations branch March 27, 2025 15:13
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment

Reviewers

@alphaville alphaville Awaiting requested review from alphaville

@debdal6 debdal6 Awaiting requested review from debdal6

Assignees

@chemardes chemardes

Labels

None yet

Projects

None yet

Milestone

No milestone

Development

Successfully merging this pull request may close these issues.

Monte Carlo simulations: from GBM to option pricing

1 participant

@chemardes