aldodec / Black-Scholes-Option-Pricing-with-Monte-Carlo-
The purpose of this notebook is to explore different methods for the valuation of options within the framework of the Black-Scholes pricing model with the use of Python. In particular, we will rely on Monte Carlo methods for the pricing of european call options, and compare the results with those obtained through the exact Black-Scholes solution…
☆21Updated 5 years ago
Alternatives and similar repositories for Black-Scholes-Option-Pricing-with-Monte-Carlo-:
Users that are interested in Black-Scholes-Option-Pricing-with-Monte-Carlo- are comparing it to the libraries listed below
- Monte Carlo option pricing algorithms for vanilla and exotic options☆25Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆37Updated 4 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆17Updated 3 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- Implementations of Leading Algorithms in Quantitative Finance☆48Updated 7 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 2 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆108Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- Dispersion Trading using Options☆32Updated 8 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Value at Risk and Backtest Routines☆23Updated last year
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆75Updated 3 years ago
- ☆17Updated 7 years ago
- SOFR curve bootstrapping☆24Updated 4 years ago
- Construction of local volatility surface by using SABR☆29Updated 7 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- ☆59Updated 2 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆62Updated last year
- Advanced Risk and Portfolio Management Resources☆26Updated 5 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆188Updated 5 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆38Updated 6 months ago
- ☆71Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago