aldodec / Black-Scholes-Option-Pricing-with-Monte-Carlo-Links
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…
☆25Updated 6 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
Sorting:
- Monte Carlo option pricing algorithms for vanilla and exotic options☆26Updated 5 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆21Updated 3 years ago
- ☆74Updated 4 years ago
- Implementations of Leading Algorithms in Quantitative Finance☆55Updated 8 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆41Updated 5 years ago
- This repository is the result of our work for the course CSCI-SHU 360 Machine Learning☆74Updated 4 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Option Calculator using Black-Scholes model and Binomial model☆174Updated 5 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆100Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆152Updated last year
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆30Updated 5 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆44Updated 6 years ago
- Value at Risk and Backtest Routines☆29Updated last month
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- ☆54Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆202Updated 10 months ago
- generic project files☆39Updated 9 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆165Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore moder…☆12Updated 4 years ago
- Quantamental finance research with python☆153Updated 3 years ago