Alternatives and similar repositories for asian-option-pricing:

Users that are interested in asian-option-pricing are comparing it to the libraries listed below

• lionel75013 / sabrMC
  Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide
  ☆7Updated 6 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆11Updated 5 years ago
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆44Updated 7 years ago
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆42Updated 4 years ago
• Zhenfeng-Liang / FX_Modeling_N_Market_Making
  ☆11Updated 9 years ago
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆28Updated 2 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• felixpatzelt / priceprop
  Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
  ☆23Updated 7 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆27Updated 7 years ago
• FranklinMa810 / PortfolioManagement
  ☆16Updated 4 years ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆12Updated 5 years ago
• mrefermat / FinancePhD
  Development space for PhD in Finance
  ☆33Updated 4 years ago
• BSIC / VaR
  Simple VaR calculation in Python, both for single value and VaR series in time. Supported formulas at the moment include: Parametric Norm…
  ☆40Updated 7 years ago
• Bobbakov / orderGenerator
  This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…
  ☆29Updated 2 years ago
• kangzhan / SVI-Surface
  Arbitrage free SVI Surface
  ☆13Updated 6 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 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
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆11Updated 6 years ago
• BryceMeng / mlfinlab_research_bryce
  ☆21Updated 4 years ago
• exleym / simpaq
  various valuation tools for financial derivatives
  ☆10Updated 8 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆14Updated 3 years ago
• oumarndiaye / Projet_QF_partie_2
  Vanna-volga pricer for fx options
  ☆8Updated 5 years ago
• JurgenPalsma / dcgenerator
  Python package for generating Directional Changes - a technical analysis indicator - from time series.
  ☆20Updated 6 years ago
• vsmolyakov / fin
  finance
  ☆43Updated 7 years ago
• mmport80 / QuantLib-with-Python-Blog-Examples
  Financial security modelling with Python and QuantLib
  ☆34Updated 10 years ago
• returnandrisk / meucci-python
  Python Code for Meucci Related Blog Posts
  ☆16Updated 8 years ago
• thertrader / Using-random-forest-to-model-limit-order-book-dynamic
  I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead
  ☆27Updated 4 years ago
• wilki2021 / tssbutil
  Utilities for automation of Trading System Synthesis and Boosting (TSSB)
  ☆24Updated 11 years ago
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆46Updated 4 years ago