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.
☆13Updated last year
Related projects ⓘ
Alternatives and complementary repositories for Heston-model-option-valuation-using-Monte-Carlo-simulation-and-LSM-method
- ☆31Updated last year
- ☆57Updated last year
- Regime detection in historical markets using Hidden Markov Models (HMM) and Support Vector Machines (SVM).☆13Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆26Updated last year
- Learning project by project.☆18Updated 3 years ago
- ☆24Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆23Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 2 years ago
- Find trading pairs with Machine Learning☆41Updated 3 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆91Updated 2 years ago
- ☆14Updated 5 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆41Updated 2 years ago
- This repository contains codes that were executed during my training in the CQF (Certificate in Quantitative Finance). The codes are orga…☆22Updated 9 months ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆45Updated 2 years ago
- Deep Neural Networks for Options Pricing (Python)☆42Updated 6 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆25Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆59Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆34Updated 6 months ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 8 months ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆28Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆80Updated last month
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆60Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆36Updated 4 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆125Updated 5 months ago
- three stochastic volatility model: Heston, SABR, SVI☆81Updated 5 years ago
- generic project files☆37Updated 8 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago