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.
☆18Updated last year
Alternatives and similar repositories for optionsVisualizer
Users that are interested in optionsVisualizer are comparing it to the libraries listed below
Sorting:
- By means of stochastic volatility models☆44Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆52Updated 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 …☆11Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Construction of local volatility surface by using SABR☆29Updated 8 years ago
- ☆17Updated 7 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆11Updated 5 years ago
- ☆24Updated 6 years ago
- Package to build risk model for factor pricing model☆25Updated 9 months ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- ☆38Updated 2 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- Basic Limit Order Book functions☆21Updated 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
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- Dispersion Trading using Options☆32Updated 8 years ago
- Delta hedging under SABR model☆31Updated last year
- ☆22Updated 5 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆46Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- detecting regime of financial market☆36Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 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
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆25Updated last year
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago