american-options
There are 9 repositories under american-options topic.
cantaro86 / Financial-Models-Numerical-Methods
Collection of notebooks about quantitative finance, with interactive python code.
quantitative-financejupyter-notebookskalman-filteroption-pricingfinancial-engineeringfinancial-mathematicspartial-differential-equationsfourier-inversionstochastic-processesstochastic-differential-equationslevy-processesheston-modelbrownian-motionamerican-optionsmonte-carlo-methodspythonlinear-regressionlinear-systems-equationsjump-diffusion-mertons-modeleconometricsLanguage:Jupyter Notebook 5250jkirkby3 / PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Language:MATLAB 151hsjharvey / Option-Pricing
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
Language:Python 89AndrewLyasoff / SMAP
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).
Language:Jupyter Notebook 22shashank-khanna / Option-Pricing
Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.
Language:Python 21gituliar / kwinto-cuda
Financial Analytics on GPU
Language:C++ 13AlbertLin0327 / Least-Square-Monte-Carlo
A Program to calculate the price of American put or call option with Least Square Monte Carlo
Language:Python 11ChristianYeo / Deep-Optimal-Stopping
Pricing American style option by estimating optimal stopping time using deep learning
Language:Jupyter Notebook 10white07S / Pricing-Models
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.
Language:Python 10pmontalb / FiniteDifferencePricing
A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function
Language:C++ 7AnjishtGosain / DerivativesPricing
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 to back-solve model parameters given market data (read from JSON).
Language:C++ 6ITNeri / Option_Pricing
Asian, American, European and barrier option pricing
Language:Python 4732jhy / Lattice-Pricing-models
Lattice/tree pricing methods for European and American options
Language:Python 3pontazaricardo / Finance_BinomialTree_American-put_European-put
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).
Language:MATLAB 3dbischof90 / american_option_pricing_neural_nets
An american option pricer based on neural network regression.
Language:Python 2deepakgouda / FinanceLab-MA374
Lab assignments of Financial Engineering Course MA374
Language:Jupyter Notebook 2EricJXShi / Monte-Carlo-Lattice-Options-Pricing
Pricing American Options, Asian Options, Lookback Options, and Floating Lookback Options using Monte-Carlo Simulation and Binomial Lattice approaches.
Language:Jupyter Notebook 2NonoMalpi / Secondary_band
Secondary band prediction model
Language:Jupyter Notebook 2chen-bowen / Find_Bermuda_Option_Decision_Boundary
Find Bermuda Option Decision Boundary
Language:Python 1Accompanying C++ code for the TastyHedge blog
Language:C++ 1GrantBaker576 / FinancialEngineering
Financial Engineering
Language:Jupyter Notebook 1javiervaleriano / javier-menu-copamerica2021
A project with JavaScript, CSS and a bit of HTML. This is an item filtering project with an HTML "select" element.
Language:CSS 1aidanabekboeva / American-Option-Binomial-Trees
This project provides an implementation of the American Option pricing model using Binomial Trees. American Options offer the unique feature of being exercisable at any time prior to expiration, adding complexity to the pricing process.
0marieborac / PSOR_AmericanOptionsPricing
A point relaxation algorithm for pricing and computing optimal exercise boundaries for American options
Language:Jupyter Notebook 0marek-bauer / Option-pricer
Simple app to valuate price of financial instruments
Language:F#RobertMorey / CppFiniteDifference
Finite Difference Method for options pricing (European and American) in C++ (Explicit only)
Language:C++Finite Difference Method for Option (European and American) pricing, with greeks for explicit. FastExplicit() is a partially vectorised form of Explicit() that is much faster.
Language:Jupyter Notebook