martingalePricing: A C++ Template Library to Price Financial Derivatives on Trees.

Authors: Sebastian Ferrando and Brendan Bartlett, Ryerson University.

martingalePricing is a C++ library to compute prices for a variety of financial derivatives via the martingale algorithm. The type of financial options is quite general, they can be european, american and path dependent. The main restriction is in the underlying data type. A main ingredient is the use of generic programming implemented via C++ templates. Technical report (46 pages) and software available thorough the links below.