option-pricing
There are 39 repositories under option-pricing 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 5249michaelchu / optopsy
A nimble options backtesting library for Python
Language:Python 903- RustQuantLanguage:Rust 846
- Language:Python 450
rburkholder / trade-frame
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 ]
Language:C++ 424PyPatel / Quant-Finance-Resources
Courses, Articles and many more which can help beginners or professionals.
romanmichaelpaolucci / Q-Fin
A Python library for mathematical finance
Language:Python 367boyac / pyOptionPricing
Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging
Language:Python 273jkirkby3 / 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 151- Language:Python 126
yzoz / python-option-calculator
Vanilla option pricing and visualisation using Black-Scholes model in pure Python
Language:Python 116ArturSepp / StochVolModels
Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
Language:Python 100ryanmccrickerd / rough_bergomi
A Python implementation of the rough Bergomi model.
Language:Jupyter Notebook 99jerryxyx / MonteCarlo
A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
Language:Jupyter Notebook 96hsjharvey / Option-Pricing
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
Language:Python 89TechfaneTechnologies / QtsApp
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.
Language:Python 89VivekPa / BinomialOptModel
A python program to implement the discrete binomial option pricing model
Language:Python 82krivi95 / option-pricing-models
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.
Language:Python 75Vanilla 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.
Language:Python 62ApurvShah007 / Algorithmic-Trading
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.
Language:Jupyter Notebook 60Robin-Guilliou / Option-Pricing
Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
Language:Jupyter Notebook 56arraystream / fftoptionlib
FFT-based Option Pricing Methods in Python
Language:Python 55ronniec95 / black_scholes
A SIMD based black scholes pricer using the http://crates.io/wide crate
Language:Rust 55A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization
Language:Python 53Jenniferab32 / OptionAnalysis
Python Code for Option Analysis
Language:Python 43LongOnly / Option-Pricing-under-Uncertainty
By means of stochastic volatility models
Language:Jupyter Notebook 40bottama / Dynamic-Derivatives-Portfolio-Hedging
Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage of Options contracts.
Language:Python 38- Language:R 36
- jupyter-notebooks
frontmark / jupyter-notebooks
Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
Language:Jupyter Notebook 36 bstemper / deep_rough_calibration
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
Language:Jupyter Notebook 32jcfrei / Heston
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.
Language:MATLAB 31msabvid / Deep-PPDE
Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
Language:Python 31Library for simulation and analysis of vanilla and exotic options
Language:Python 30Aureliano90 / LP-Option-Hedging
A tool to analyze leveraged liquidity mining and find optimal option strategy for hedging.
Language:Python 28hongwai1920 / Implement-Option-Pricing-Model-using-Python
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.
Language:Jupyter Notebook 28ZewenShen / hdp
A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep Galerkin method
Language:Python 28
