RBergomi option pricing
This is a C++ implementation of European option pricing routines in the RBergomi model.
- Pricing is done by Monte Carlo
- fBm is generated by the hybrid scheme
- At the moment, only constant forward variance is implemented.
The projects are prepared in eclipse, but in any case these are requirements for compiling and running the code:
-
fftw3 library
-
openmp support
-
C++14
The code was found to compile and run successfully with g++ version 5.x and later, but not with a tested version of g++ 4.??.
Note that I was not able to compile the RBergomi package for R (using Rcpp) in OSX, while I was able to do so in Linux. A workaround is provided by simply calling a console program from within R.