Topic: option-pricing Goto Github

👇 Here are 220 public repositories matching this topic...

732jhy / monte-carlo-option-pricing
option-pricing,Monte Carlo option pricing algorithms for vanilla and exotic options
User: 732jhy
monte-carlo monte-carlo-simulation option-pricing exotic-option stochastic-volatility-models

apurvshah007 / algorithmic-trading
option-pricing,I have been deeply interested in algorithmic trading and systematic trading algorithms. This Repository contains the code of what I have learnt on the way. It starts form some basic simple statistics and will lead up to complex machine learning algorithms.
User: apurvshah007
pandas financial-analysis algorithmic-trading statistics numpy scipy pandas-dataframe python3 portfolio-optimization option-pricing

arraystream / fftoptionlib
option-pricing,FFT-based Option Pricing Methods in Python
User: arraystream
option-pricing fft python financial

artursepp / stochvolmodels
option-pricing,Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
User: artursepp
option-pricing python quantitative-finance stochastic-processes volatility-modeling

aureliano90 / lp-option-hedging
option-pricing,A tool to analyze leveraged liquidity mining and find optimal option strategy for hedging.
User: aureliano90
liquidity-mining option-pricing automated-market-making

avhz / rustquant
option-pricing,Rust library for quantitative finance.
User: avhz
Home Page: https://docs.rs/RustQuant
finance machine-learning math mathematics option-pricing quantitative-finance quantlib regression rust rust-lang statistics stochastic-processes trading

bottama / dynamic-derivatives-portfolio-hedging
option-pricing,Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage of Options contracts.
User: bottama
options-trading option-pricing black-scholes-merton derivatives hedging greeks-neutralization greeks portfolio-position delta vega

boyac / pyoptionpricing
option-pricing,Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging
User: boyac
option-pricing volatility blackscholes derivatives investment-banking

bstemper / deep_rough_calibration
option-pricing,C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
User: bstemper
rough-volatility option-pricing quantitative-finance deep-learning neural-networks

cantaro86 / financial-models-numerical-methods
option-pricing,Collection of notebooks about quantitative finance, with interactive python code.
User: cantaro86
quantitative-finance jupyter-notebooks kalman-filter option-pricing financial-engineering financial-mathematics partial-differential-equations fourier-inversion stochastic-processes stochastic-differential-equations

chicago-joe / option-pricing-via-levy-models-in-r
option-pricing,using the Inverse-Transform method to speed up options pricing simulations in R
User: chicago-joe
r option-pricing options-trading algorithmic-trading computational-finance levy-models levy-processes levy-process monte-carlo-simulation monte-carlo-simulations

daleroberts / black-scholes
option-pricing,Black Scholes formula and greeks
User: daleroberts
finance numerical-codes option-pricing r

daleroberts / heston
option-pricing,Implementations of the Heston stochastic volatility model
User: daleroberts
finance r numerical-codes option-pricing

donlelef / vanilla-option-pricing
option-pricing,Stochastic models to price financial options
User: donlelef
Home Page: https://vanilla-option-pricing.readthedocs.io/en/latest/
quantitative-finance stochastic-processes financial-options vanilla-option-pricing option-pricing

frontmark / jupyter-notebooks
option-pricing,Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
Organization: frontmark
derivative-pricing finance-derivatives yield-curves-calibration volatility-modeling option-pricing equity-options

hongwai1920 / implement-option-pricing-model-using-python
option-pricing,Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estimate and likelihood ratio methods. Lastly, implemented binomial tree option pricing to price American option.
User: hongwai1920
quantitative-finance python3 monte-carlo-simulation option-pricing black-scholes likelihood-ratio-methods binomial-trees

hsjharvey / option-pricing
option-pricing,European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
User: hsjharvey
option-pricing black-scholes longstaff-schwartz exotic-option american-options european-options binomial-pricing

ieshanvaidya / reinforcement-learning-option-pricing
option-pricing,A DQN agent that optimally hedges an options portfolio.
User: ieshanvaidya
reinforcement-learning option-pricing deep-q-network

jcfrei / heston
option-pricing,Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.
User: jcfrei
heston heston-model option-pricing optimi calibration stochastic-volatility-models

jenniferab32 / optionanalysis
option-pricing,Python Code for Option Analysis
User: jenniferab32
options volatility skew cboe python option-pricing options-trading

jerryxyx / montecarlo
option-pricing,A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
User: jerryxyx
monte-carlo hedge optimization variance-reduction option-pricing heston-model cir-model control-varates

jirotubuyaki / jdmbs
option-pricing,An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
User: jirotubuyaki
option-pricing monte-carlo stock-market cran finance derivatives black-scholes option brownian-motion computational-finance

jkirkby3 / fypy
option-pricing,Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
User: jkirkby3
option-pricing black-scholes levy-processes calibration fourier quantitative-finance pricing levy options-pricing finance

jkirkby3 / proj_option_pricing_matlab
option-pricing,Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
User: jkirkby3
quantitative-finance levy-processes black-scholes american-options bermudan-option asian-option european-options lookback-option variance-swap barrier-option

jknaudt21 / option-scraper-blackscholes
option-pricing,Repo for scraping option data required for the Black Scholes model. Data is scraped from S&P500 companies
User: jknaudt21
web-scraping option-pricing black-scholes option-data

krivi95 / option-pricing-models
option-pricing,Simple python/streamlit web app for European option pricing using Black-Scholes model, Monte Carlo simulation and Binomial model. Spot prices for the underlying are fetched from Yahoo Finance API.
User: krivi95
option-pricing black-scholes monte-carlo-simulation binomial-tree python pandas-datareader yahoo-finance-api streamlit docker google-cloud

longonly / option-pricing-under-uncertainty
option-pricing,By means of stochastic volatility models
User: longonly
option-pricing implied-volatility monte-carlo stochastic-processes

michaelchu / optopsy
option-pricing,A nimble options backtesting library for Python
User: michaelchu
Home Page: https://github.com/michaelchu/optopsy/wiki
options-spreads options-strategies trade-options options trading options-trading options-framework option-pricing option-chain algorithmic

msabvid / deep-ppde
option-pricing,Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
User: msabvid
option-pricing path-dependent-pde ppde-solver exotic-option

pooyasf / dgm
option-pricing,Solving High Dimensional Partial Differential Equations with Deep Neural Networks
User: pooyasf
pde pde-solver blackscholes dgm option-pricing free-boundry-pde pytorch neural-network deepgalerkin

prabhupavitra / financial-modeling
option-pricing,Financial Models using vba script and Python
User: prabhupavitra
financialmodeling python3 pandas-dataframe loan-amortizaion financial-models financial-modeling amortization ppmt ipmt pmt

pyfe / pyfeng
option-pricing,Python Financial ENGineering (PyFENG package in PyPI.org)
Organization: pyfe
financial-engineering mathematical-finance quantitative-finance option-pricing derivatives black-scholes heston-model sabr-model bachelier-model

pypatel / quant-finance-resources
option-pricing,Courses, Articles and many more which can help beginners or professionals.
User: pypatel
quant quantitative-finance algorithms algorithmic-trading ai artificial-intelligence artificial-intelligence-algorithms artificial-neural-networks machine-learning probability

quantsbin / quantsbin
option-pricing,Quantitative Finance tools
User: quantsbin
python finance quants quantitative-finance derivatives derivative-pricing option-pricing options blackscholes binomial-tree

rburkholder / trade-frame
option-pricing,C++ 17 based library (with sample applications) for testing equities, futures, etfs & options based automated trading ideas using DTN IQFeed real time data feed and Interactive Brokers (IB TWS API) for trade execution. Some support for Alpaca & Phemex. Notifications via Telegram [irc: Libra #tradeframe ]
User: rburkholder
market-data iqfeed trading hdf5 c-plus-plus finance realtime-quotes-data options tws-api greeks

robin-guilliou / option-pricing
option-pricing,Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
User: robin-guilliou
black-scholes heston-model jump-diffusion-mertons-model finite-difference-schemes fourier-transform option-pricing monte-carlo binomial-model implied-volatility barrier-option

romanmichaelpaolucci / algorithmic_delta_hedging
option-pricing,A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization
User: romanmichaelpaolucci
option-pricing options-trading python volatility-trading

romanmichaelpaolucci / pricing_exotic_options
option-pricing,Library for simulation and analysis of vanilla and exotic options
User: romanmichaelpaolucci
Home Page: https://medium.com/p/3a2bfab5ff66/edit
monte-carlo-simulation option-pricing python

romanmichaelpaolucci / q-fin
option-pricing,A Python library for mathematical finance
User: romanmichaelpaolucci
mathematical-finance option-pricing python quantitative-finance

ronniec95 / black_scholes
option-pricing,A SIMD based black scholes pricer using the http://crates.io/wide crate
User: ronniec95
Home Page: https://mushfaqueronniechowdhury.medium.com/probably-the-fastest-black-scholes-pricer-in-world-34103e97f7eb
simd math-functions option-pricing

roughstochvol / rbergomi
option-pricing,C++ implementation of rBergomi model
Organization: roughstochvol
rough-volatility option-pricing quantitative-finance

ryanmccrickerd / rough_bergomi
option-pricing,A Python implementation of the rough Bergomi model.
User: ryanmccrickerd
rough-volatility implied-volatility option-pricing monte-carlo

shashank-khanna / option-pricing
option-pricing,Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.
User: shashank-khanna
monte-carlo-simulation blackscholes option-pricing american-options european-options python3

shehio / everything-financial-engineering
option-pricing,Links for the most relevant topics
User: shehio
regression portfolios arbitrage statistics economics machine-learning machine-learning-algorithms optimal-control montecarlo montecarlo-simulation

sumit090594 / wqu-projects
option-pricing,Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement of clearing the courses.
User: sumit090594
blackscholes derivatives econometrics financial-engineering fourier-pricing-technique machine-learning macroeconomics monte-carlo-simulation option-pricing portfolio-management python r random-walk risk-management statistics stochastic stochastic-processes value-at-risk

techfanetechnologies / qtsapp
option-pricing,The Python Library For QtsApp which displays the option chain in near real-time. This program retrieves this data from the QtsApp site and then generates useful analysis of the Option Chain for the specified Index or Stock. It also continuously refreshes the Option Chain along with Implied Volatatlity (IV), Open Interest (OI), Delta, Theta, Vega, Gamma, Vanna, Charm, Speed, Zomma, Color, Volga, Veta at an interval of a second and visually displays the trend in various indicators useful for Technical Analysis.
Organization: techfanetechnologies
Home Page: https://techfanetechnologies.github.io/QtsApp/
analysis app banknifty derivatives equity nifty nifty50 nse option-chain option-pricing

vinaykale64 / market-monitor
option-pricing,Interactive app to monitor market using Python
User: vinaykale64
Home Page: https://stock-app-vk94.herokuapp.com/
stock-market analysis plotly-dash python options-trading stocks yfinance finviz news stock-prices

vivekpa / binomialoptmodel
option-pricing,A python program to implement the discrete binomial option pricing model
User: vivekpa
python quantitative-finance option-pricing binomial-model

yzoz / python-option-calculator
option-pricing,Vanilla option pricing and visualisation using Black-Scholes model in pure Python
User: yzoz
black-scholes options-trading options market market-data option-pricing derivatives financial trading econometrics

zewenshen / hdp
option-pricing,A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep Galerkin method
User: zewenshen
high-dimensional partial-differential-equations numerical-methods deep-learning option-pricing fast-fourier-transform monte-carlo