Projects / MCOV

MCOV

MCOV (Monte Carlo Option Valuer) uses a Monte Carlo method to estimate the value of American-style financial options to a trader using a particular strategy. New strategies can be employed by subclassing strategy (and maybe day and day-factory) classes.

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  •  09 Feb 2004 03:41

    Release Notes: This initial release employs very simple strategies in which the option is sold just before it expires. Two sample price-history files are included.

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