cos-method

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📚SDE research and modelling in Finance📚

COS Method and Montercarlo simulation implementation for option pricing using pybind11.

python submodules cpp boost eigen option-pricing stochastic-processes pybind11 montecarlo-simulation cos-method

C++17 + OpenMP option pricing engine benchmarking Monte Carlo, COS, Black-Scholes & LSMC — with live interactive dashboard.

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