frankieycy / option-pricingView external linksLinks
C++ option pricing library on vanillas & exotics, Python volatility calibration library
☆20Aug 20, 2024Updated last year
Alternatives and similar repositories for option-pricing
Users that are interested in option-pricing are comparing it to the libraries listed below
Sorting:
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Mar 8, 2018Updated 7 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated this week
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- ☆10Nov 4, 2018Updated 7 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 8 years ago
- ☆10Mar 16, 2022Updated 3 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- Heath–Jarrow–Morton model☆14Feb 22, 2021Updated 4 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 5 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- A lean package to estimate financial asset betas☆11Feb 12, 2023Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆14Feb 2, 2023Updated 3 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- baruch mfe mth9814 financial instruments☆19Jun 3, 2018Updated 7 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Option Volatility and Pricing Models.☆12Feb 24, 2025Updated 11 months ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Feb 15, 2022Updated 4 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Quant finance scripts☆16Apr 13, 2025Updated 10 months ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Jan 21, 2019Updated 7 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39May 14, 2021Updated 4 years ago