Monte Carlo Option Pricer

Problem

Path-dependent options lack closed-form prices. Monte Carlo is flexible but slow; this engine makes it fast through parallelism and variance reduction.

Methods

• Geometric Brownian motion path simulation
• Antithetic variates and control variates
• OpenMP multithreading
• Greeks via pathwise and bump-and-revalue

Outputs

• Option price with Monte Carlo standard error
• Delta, Gamma, Vega
• Convergence diagnostics