Beast code in Giters

AnnaLin22's starred repositories

Option-portfolio

Intelligent Options Portfolio Model and Risk-Free Options Portfolio Model

100

masterthesis

Master Thesis Tilburg University - Option Implied risk-neutral distriubtion

Language:Python400

Implements calculation of option implied correlations following Buss, A. and Vilkov, G., 2012. Measuring equity risk with option-implied correlations. The Review of Financial Studies, 25(10), pp.3113-3140.

Language:PythonMIT500

Options-Calculator

Option Calculator using Black-Scholes model and Binomial model

Language:Jupyter Notebook15900

option_tools

期权隐含波动率/历史波动率

Language:Python18100

CrossSection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

Language:StataGPL-2.071400

rOptionsTools

Implementation of Model Free Implied Metrics from Bakshi, Gurdip S. and Bakshi, Gurdip S. and Kapadia, Nikunj and Madan, Dilip B., Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (July 2, 2001). Available at SSRN: https://ssrn.com/abstract=282451 or http://dx.doi.org/10.2139/ssrn.282451

Language:R200

OptSK

This package is to create the option implied moments and realized skewness

Language:R300

QuantMath

Financial maths library for risk-neutral pricing and risk

Language:RustMIT36300