C++ derivatives modeling:

• Realized Volatility Estimation Models

  • close-to-close.cpp
  • garman-klass.cpp
  • parkinson.cpp
  • rogers-satchell.cpp
  • yang-zhang.cpp

• Option Sensitivities with Black-Scholes Model

  • BlackScholesModel.cpp
  • BlackScholesModel.h

• Options Implied Volatility Surface

  • OptionsImpliedVolatilitySurface.h
  • OptionsImpliedVolatilitySurface.cpp
  • main.cpp