Skip to content

FEATURE: adding monte carlo simulations #49

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom
Merged
merged 6 commits into from
Mar 27, 2025
Merged

FEATURE: adding monte carlo simulations #49

merged 6 commits into from
Mar 27, 2025

Conversation

chemardes
Copy link
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