This project is about how to implement stochastic algorithms via Rust for European options ⚗️
Although Python is widely used by quantitative analysts and statistician. While comparing Rust with Python, Rust provide the best performance and faster compilation speed. Also, it's more C like. The code can be written more idiomatic.
| Simulation | Compilation time |
|---|---|
| Monte-Carlo | 0.258s |
| Static Geometric Brownian motion | 0.247s |
| Dynamic Geometric Brownian motion | N/A |
| Square-root diffusion | 0.385s |
- Implement Square-root diffusion, Geometric Brownian motion, and their variation of euler discretization.
- Test all the functions.
- README