Option Pricing with Monte Carlo Simulation under Heston Stochastic Volatility Model
This application is a non-exotic and exotic option price simulator using Monte Carlo simulation. It prices options under Black–Scholes/Heston model with Milstein/Euler scheme. This GUI app allows users to directly input parameters and choose model and scheme to get simulated option prices.
Event Study Robot
This is an offline event study application equipped with the processed CRSP and French library data. It can automatically perform event study by importing a list of PERMNO, event date, and window size.