Adrian8169 / Heston-model-option-valuation-using-Monte-Carlo-simulation-and-LSM-method
This is a Python implementation of the Heston model for option pricing using Monte Carlo simulation. The code takes in parameters and generates stock price and volatility paths, calculates the option payoff, and determines the option value using the Longstaff-Schwartz algorithm for American-style options.
☆12Updated last year
Alternatives and similar repositories for Heston-model-option-valuation-using-Monte-Carlo-simulation-and-LSM-method:
Users that are interested in Heston-model-option-valuation-using-Monte-Carlo-simulation-and-LSM-method are comparing it to the libraries listed below
- three stochastic volatility model: Heston, SABR, SVI☆84Updated 5 years ago
- ☆57Updated last year
- ☆35Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆68Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆73Updated 3 years ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆59Updated 7 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- ☆81Updated 3 months ago
- A collection of quantitative finance notebooks. Including MPT, Monte Carlo simulations and Machine Learning algorithms☆13Updated 2 years ago
- CS7641 Team project☆93Updated 4 years ago
- Project to model the trading of energy to different markets using various power plant models☆11Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Codes for the concepts related to quantitative finance☆50Updated last week
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- volatility arbitrage in Heston model☆42Updated 2 months ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆43Updated 2 years ago
- SVI volatility surface model and an example of China 50ETF option☆63Updated 4 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆26Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆60Updated last month
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- This repository is the result of our work for the course CSCI-SHU 360 Machine Learning☆57Updated 4 years ago
- Semi-automatic analysis of a financial series using Python.☆12Updated 3 years ago
- ☆50Updated 7 years ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆109Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆84Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆151Updated last month
- ☆27Updated 2 years ago
- This repository contains codes that were executed during my training in the CQF (Certificate in Quantitative Finance). The codes are orga…☆25Updated last year
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- ☆74Updated 8 months ago