Digital Call Option Pricing

A Rust implementation for pricing European-style digital call options using Monte Carlo simulation and Finite Element Method (FEM).

Overview

This software provides two pricing methods for digital call options:

1. Monte Carlo simulation
2. Finite Element Method (FEM)

DigitalCallOption Struct

Represents a digital call option with the following properties:

• underlying_price: Current price of the underlying asset
• strike_price: Option's strike price
• barrier_price: Option's barrier price
• implied_volatility: Implied volatility of the underlying asset
• time_to_maturity: Time to option maturity

Methods

• new() -> DigitalCallOption: Creates a new instance with default values
• get_inputs(&mut self): Prompts user for input values
• price(&self, method: &str) -> f64: Calculates option price using specified method

Pricing Methods

Monte Carlo Simulation

monte_carlo_price(&self, num_simulations: usize) -> f64