james-ralph8555 / optionsVisualizer
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 current Greeks for a given option. European style options.
☆19Updated last year
Alternatives and similar repositories for optionsVisualizer:
Users that are interested in optionsVisualizer are comparing it to the libraries listed below
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- By means of stochastic volatility models☆43Updated 5 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆51Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆94Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 4 years ago
- ☆24Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- ☆21Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆64Updated 5 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆45Updated 4 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆8Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆27Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆14Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago