GitHub / abhishekprog0 / StructuredPricingEngine

Contains code for the pricing engine of a type of Quanto Option on Libor and STOXX50E. Used GBM model for Stock process simulation and Vasicek model for LIBOR rate simulation. We have assumed that we shall price the product at the current date i.e Dec-12-2020. Used 1-year historical stock data and LIBOR rate to calibrate the various parameters of the models used.

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