antdvid / FastAmericanOptionPricingLinks
Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.
☆49Updated 4 years ago
Alternatives and similar repositories for FastAmericanOptionPricing
Users that are interested in FastAmericanOptionPricing are comparing it to the libraries listed below
Sorting:
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Neural network local volatility with dupire formula☆78Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆21Updated 5 years ago
- ☆52Updated 8 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- An xVA quantitative library written in python using tensorflow☆17Updated last month
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆99Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- SVI volatility surface model and an example of China 50ETF option☆77Updated 5 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆131Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13Updated 10 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 5 months ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- Advanced Risk and Portfolio Management Resources☆31Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- ☆25Updated 7 years ago