Option Pricing Methods

                                                                                                       Last update on December 26th, 2012


I am Christophe Rougeaux and I am working as a junior quantitative analyst (model validation).
Passionate by option pricing methodologies and risk management, I thought I would share of my research.

The content of this website is divided into 7 parts:

- Classical option pricing models: Binomial models, Black & Scholes, shifted lognormal model, G2++ (bond options).
- Monte-Carlo methods: Option pricing and greeks estimation.

- Partial Differential Equation (PDE) approach: Finite Difference (FD) and Radial Basis Function (RBF).
- Volatility models: SABR with calibration, Lognormal model, etc.
- Videos: Using C# in Excel with debug, option pricing methods explanations, etc.
- Publications: working papers, blogs, etc.
- About/Contact me: Information about Christophe, testimonials, etc.

You can visit the various navigation tabs to explore these methods in more details.

NEW: G2++ model online! White Paper about Counterparty Credit Risk.

Visit my linkedin profile here and join "option pricing methods" group on linkedin.

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