mehulsharma3795 / Stock-Options-Pricing-Model
• Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model. • Developed Cox-Ross-Rubenstein Binomial Tree Model for pricing American Call & Put Options.• Programatically Implemented Black Sholes Merton Model for pricing European Call & Put Options.
☆15Updated 2 years ago
Alternatives and similar repositories for Stock-Options-Pricing-Model:
Users that are interested in Stock-Options-Pricing-Model are comparing it to the libraries listed below
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆29Updated last year
- ☆35Updated 2 years ago
- By means of stochastic volatility models☆43Updated 4 years ago
- Dispersion Trading using Options☆32Updated 7 years ago
- A financial trading method using machine learning.☆58Updated last year
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- ☆24Updated 6 years ago
- This repo is for my articles published on Medium.com☆16Updated last year
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 9 months ago
- ☆13Updated 5 years ago
- ☆17Updated 6 years ago
- Implements different approaches to tactical and strategic asset allocation☆30Updated last month
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University …☆39Updated 2 years ago
- A low frequency statistical arbitrage strategy☆19Updated 5 years ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆59Updated 6 months ago
- Portfolio optimization with cvxopt☆37Updated 3 weeks ago
- ☆39Updated 3 years ago
- Baruch MFE 2019 Spring☆37Updated 4 years ago
- ☆21Updated 5 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆24Updated last month
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆57Updated last year
- • 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
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- Find trading pairs with Machine Learning☆41Updated 3 years ago
- These code have the objetive to calculate all the greeks in a real option contract ( using the Black&Scholes model), greeks like Delta,Th…☆16Updated 3 years ago
- Package to build risk model for factor pricing model☆24Updated 6 months ago