Quintus-Zhang / Ferret
Options Pricing using Finite Difference Methods
☆14Updated 7 years ago
Alternatives and similar repositories for Ferret
Users that are interested in Ferret are comparing it to the libraries listed below
Sorting:
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆21Updated 4 years ago
- ADI Finite Difference schemes for option pricing using the Heston model☆17Updated 7 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆14Updated last year
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- ☆7Updated 9 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI