heston-model

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

options monte-carlo derivatives option-pricing quantitative-finance american-options jump-diffusion stochastic-volatility-models black-scholes fourier-transform sabr european-options levy-processes heston-model asian-option bermudan-option lookback-option variance-swap barrier-option quant-finance

UpdatedNov 19, 2024
MATLAB

PyFE /PyFENG

Star158

Python Financial ENGineering (PyFENG package in PyPI.org)

derivatives option-pricing quantitative-finance mathematical-finance black-scholes financial-engineering heston-model sabr-model bachelier-model

UpdatedNov 19, 2024
Python

ArturSepp /StochVolModels

Star154

Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

python monte-carlo-simulation option-pricing quantitative-finance stochastic-processes fourier-transform heston-model volatility-modeling stochastic-volatility heston-stochastic-volatility lognormal-stochastic-volatility

UpdatedJan 14, 2025
Python

jerryxyx /MonteCarlo

Star107

A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

optimization monte-carlo option-pricing variance-reduction hedge heston-model cir-model control-varates

UpdatedApr 5, 2019
Jupyter Notebook

Robin-Guilliou /Option-Pricing

Star73

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

monte-carlo option-pricing binomial-model black-scholes fourier-transform implied-volatility finite-difference-schemes heston-model jump-diffusion-mertons-model barrier-option

UpdatedJan 11, 2022
Jupyter Notebook

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.

calibration option-pricing stochastic-volatility-models heston-model optimi heston

UpdatedAug 29, 2017
MATLAB

lyndskg /black-scholes-cpp

Star21

A UI-friendly program calculating Black-Scholes options pricing with advanced algorithms incorporating option Greeks, IV, Heston model, etc. Reads input from users, files, databases, and real-time, external market feeds (e.g. APIs).

cpp makefile optimization market-data low-latency hft-trading optimization-algorithms black-scholes implied-volatility blackscholes cpp20 options-trading heston-model brownian-motion options-pricing hestonmodel option-greeks stochastic-volatility black-scholes-model

UpdatedApr 13, 2024
C++

Liberxue /cqf

Star17

Custom Neuron Decision-Making and Visual Workflow Orchestration Quantitative

rust machine-learning-algorithms vega delta neurons monte-carlo-simulation gamma burn theta quantitative-trading rho blackscholes heston-model cqf garch-model bopm greeks-calculatio binomial-options-pricing-model

UpdatedMar 7, 2025
Rust

rexsutton /vollab

Star16

Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathematical finance.

heston-model volatility-modelling ito-language volatility-surface call-prices

UpdatedApr 30, 2021
Jupyter Notebook

white07S /Pricing-Models

Star16

Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.

markov-model option-pricing algorithmic-trading mathematical-finance binomial-model american-options stochastic-processes forex-trading forex-prediction black-scholes european-options options-trading heston-model volatility-modeling heston-stochastic-volatility pricing-model