lookback-options

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LeopoldChambriard / quantlib-monte-carlo-pricer

Path-dependent option pricing engine in C++ using QuantLib. Implements Monte Carlo simulations for Discrete Arithmetic Average Strike Asian options, Lookback options, and European derivatives under a Constant Black-Scholes process with CI/CD integration.

cpp monte-carlo quantlib quantitative-finance derivatives-pricing asian-options lookback-options

Updated Oct 2, 2026
C++

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