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cantaro86 /Financial-Models-Numerical-Methods

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Collection of notebooks about quantitative finance, with interactive python code.

python linear-regression econometrics partial-differential-equations option-pricing quantitative-finance jupyter-notebooks stochastic-differential-equations american-options kalman-filter stochastic-processes monte-carlo-methods financial-engineering financial-mathematics levy-processes heston-model brownian-motion jump-diffusion-mertons-model fourier-inversion linear-systems-equations

UpdatedOct 22, 2024
Jupyter Notebook

jkirkby3 /PROJ_Option_Pricing_Matlab

Star195

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

hsjharvey /Option-Pricing

Star98

European/American/Asian option pricing module. BSM/Monte Carlo/Binomial

option-pricing american-options exotic-option black-scholes european-options longstaff-schwartz binomial-pricing

UpdatedNov 7, 2022
Python

Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2017 (e.g., the method for computing the price of American call options and the construction of the early exercise premium in the Black-Scholes-Merton framework from section 18.4 in SMAP).

julia parallel-computing python3 data-analysis monte-carlo-simulation histograms american-options multivariate-analysis market-data-handler black-scholes-merton juliadb

UpdatedMar 26, 2021
Jupyter Notebook

shashank-khanna /Option-Pricing

Star23

Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.

python3 monte-carlo-simulation option-pricing american-options blackscholes european-options

UpdatedAug 11, 2018
Python

white07S /Pricing-Models

Star17

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

UpdatedSep 15, 2022
Python

gituliar /kwinto-cuda

Star13

Financial Analytics on GPU

gpu cuda option-pricing finite-difference american-options

UpdatedFeb 29, 2024
C++

AlbertLin0327 /Least-Square-Monte-Carlo

Star13

A Program to calculate the price of American put or call option with Least Square Monte Carlo

monte-carlo option-pricing financial-analysis mathematical-finance american-options least-squares-monte-carlo lsmc

UpdatedJun 7, 2023
Python

ChristianYeo /Deep-Optimal-Stopping

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Pricing American style option by estimating optimal stopping time using deep learning

deep-neural-networks american-options optimal-stopping

UpdatedOct 24, 2023
Jupyter Notebook

pmontalb /FiniteDifferencePricing

Star9

A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function

dividend american-options green-funciton european-options finite-difference-schemes

UpdatedJun 1, 2018
C++

AnjishtGosain /DerivativesPricing

Star8

This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm…

monte-carlo quantitative-finance differential-evolution american-options jump-diffusion european-options derivatives-pricing black-scholes-merton equity-derivatives

UpdatedOct 10, 2020
C++

gituliar /tastyhedge

Star6

Accompanying C++ code for the TastyHedge blog

options trading calibration quantlib market-data option-pricing quantitative-finance american-options black-scholes

UpdatedFeb 24, 2024
C++

ITNeri /Option_Pricing

Star4

Asian, American, European and barrier option pricing

option-pricing american-options european-options asian-option barrier-option

UpdatedAug 9, 2021
Python

EricJXShi /Monte-Carlo-Lattice-Options-Pricing

Star4

Pricing American Options, Asian Options, Lookback Options, and Floating Lookback Options using Monte-Carlo Simulation and Binomial Lattice approaches.

monte-carlo-simulation dynamic-programming american-options exotic-option options-pricing binomial-lattice

UpdatedJun 18, 2022
Jupyter Notebook

deepakgouda /FinanceLab-MA374

Star4

Lab assignments of Financial Engineering Course MA374

finance option-pricing stock-prices american-options risk-modelling european-options portfolio-management asian-option black-scholes-merton lookback-option

UpdatedMay 3, 2019
Jupyter Notebook

pontazaricardo /Finance_BinomialTree_American-put_European-put

Star3

This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).

finance matlab call put american-options bonds bond-pricing european-options binomial-tree