hsjharvey / Option-PricingLinks
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
☆98Updated 2 years ago
Alternatives and similar repositories for Option-Pricing
Users that are interested in Option-Pricing are comparing it to the libraries listed below
Sorting:
- Python Financial ENGineering (PyFENG package in PyPI.org)☆165Updated 7 months ago
- 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☆77Updated 6 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆195Updated 7 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆120Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆109Updated 4 months ago
- Vanilla option pricing and visualisation using Black-Scholes model in pure Python☆133Updated 2 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆132Updated 6 years ago
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆123Updated 3 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- SVI volatility surface model and an example of China 50ETF option☆76Updated 5 years ago
- Option Calculator using Black-Scholes model and Binomial model☆170Updated 5 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆166Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month
- Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get curre…☆19Updated last year
- Implementation of 5-factor Fama French Model☆126Updated 4 years ago
- Documentation for QuantLib-Python☆111Updated 3 weeks ago
- Quantamental finance research with python☆149Updated 3 years ago
- Surface SVI parameterisation and corresponding local volatility☆50Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 5 years ago
- Pair Trading Strategy using Machine Learning written in Python☆119Updated 3 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- ☆51Updated 8 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆54Updated 4 years ago
- Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied v…☆308Updated 4 months ago
- ☆63Updated 2 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year