Alternatives and similar repositories for FastAmericanOptionPricing:

Users that are interested in FastAmericanOptionPricing are comparing it to the libraries listed below

• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆106Updated 5 years ago
• thedatabeat / SVI
  ☆49Updated 7 years ago
• omartinsky / AmericanMonteCarlo
  Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…
  ☆25Updated 4 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆75Updated 3 years ago
• vollib / py_lets_be_rational
  ☆52Updated 6 months ago
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆75Updated 6 years ago
• arraystream / fftoptionlib
  FFT-based Option Pricing Methods in Python
  ☆59Updated 6 years ago
• wangys96 / SVI-Volatility-Surface-Calibration
  SVI volatility surface model and an example of China 50ETF option
  ☆63Updated 4 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆45Updated 5 years ago
• tcpedersen / anderson-lake-python
  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
• RoughStochVol / rBergomi
  C++ implementation of rBergomi model
  ☆24Updated 6 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 10 months ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆95Updated 3 weeks ago
• JackJacquier / SSVI
  Surface SVI parameterisation and corresponding local volatility
  ☆39Updated 4 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆116Updated last year
• PyFE / PyfengForPapers
  Python Code for Quantitative Finance Papers
  ☆39Updated 4 months ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 6 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆84Updated 5 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆17Updated last week
• vollib / lets_be_rational
  ☆40Updated 9 years ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆116Updated 6 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆27Updated 7 years ago
• aconstandinou / pairs-trading-equities
  ☆24Updated 6 years ago
• hsjharvey / Option-Pricing
  European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
  ☆95Updated 2 years ago
• ArturSepp / StochVolModels
  Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…
  ☆152Updated last month
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 3 years ago
• IlluvatarEru / ElectronicMarkets
  ☆45Updated 6 years ago
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆43Updated 4 years ago
• Quintus-Zhang / Ferret
  Options Pricing using Finite Difference Methods
  ☆14Updated 7 years ago
• jkirkby3 / fypy
  Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…
  ☆89Updated last week