Monte Carlo Simulation for Autocallable Options

Overview

This project implements a Monte Carlo simulation for pricing autocallable options using C++. It utilizes multithreading to enhance performance and is designed to simulate various scenarios in financial markets.

Features

• Sobol sequence for quasi-random number generation.
• Geometric Brownian Motion model for asset price simulation.
• Multithreaded simulations using C++ standard library's std::thread.
• Calculation of payoff for autocallable options.
• Performance measurement using std::chrono.

Requirements

• C++ compiler (C++17 or later)
• POSIX-compliant operating system (for pthreads, if not using std::thread)

Installation

Clone the repository to your local machine:

Compiling and Running the Code

Using Makefile

The project includes a Makefile for easy compilation. Follow these steps:

1. To clean up the compiled files, you can use:

   make clean
   

2. Run the following command to compile the code:

   make
   

   This will create an executable named main.

3. To run the simulation, use:

   ./main