shashank-khanna / Option-Pricing
Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.
☆23Updated 6 years ago
Alternatives and similar repositories for Option-Pricing:
Users that are interested in Option-Pricing are comparing it to the libraries listed below
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- A collection of various computational methods to optimize a user's investment portfolio using Modern Portfolio Theory and optimizing vari…☆40Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- A library for SEC data extraction, equity valuation, discovery of mispriced stocks☆29Updated 2 years ago
- 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…☆18Updated last year
- Mean-Variance Portfolio Optimisation and Algorithmic Trading Strategies in MATLAB☆36Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- ☆54Updated 6 years ago
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆55Updated 8 years ago
- Machine Learning for Quantitative Finance☆24Updated 6 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆13Updated last year
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated 3 weeks ago
- Generate various Alternative Bars both historically and at real-time.☆35Updated 2 years ago
- ☆37Updated 2 years ago
- finance☆43Updated 7 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 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
- A framework for historical volatility estimation and analysis.☆35Updated 4 years ago
- 'Portfolio Analysis, methods for portfolio optimization'☆22Updated 4 years ago
- Portfolio optimization using Genetic algorithm.☆57Updated 4 years ago
- ☆35Updated 7 years ago
- Equities Pair Trading/Statistical Arbitrage and Multi-Variable Index Regression☆17Updated last year
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆62Updated last year
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- Tools for stock options trading: finding best cash covered put and covered call to see, find best call to buy, etc. Keywords: Implied Vo…☆42Updated last month