sabr

There are 0 repository under sabr topic.

jkirkby3 / PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
quantitative-finance levy-processes black-scholes american-options bermudan-option asian-option european-options lookback-option variance-swap barrier-option heston-model jump-diffusion fourier-transform derivatives options monte-carlo option-pricing stochastic-volatility-models sabr quant-finance
Language:MATLAB 163
jkirkby3 / fypy
Vanilla 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.
option-pricing black-scholes levy-processes calibration fourier quantitative-finance pricing levy options-pricing finance variance-gamma python quant quantitative-trading heston sabr stochastic-volatility
Language:Python 70
prodipta / bsoption
Package for option pricing and volatility calibration for index (and FX) options
option-pricing volatility sabr
Language:R 9
nicholasferguson / SABR.NelderMead_Studies_2
SABR NelderMead volatility
calibration excel-interface nelder-mead neldermead sabr volatility
Language:C++ 4
metahris / PricingWarehouse
C# pricer that allows users to price a wide range of financial products.
derivatives financial-markets mssql pricer pricing quantitative-finance implied-volatility heston sabr stochastic-models quant options
Language:C# 3
nicholasferguson / SABR_Studies_1
black76 sabr volatility
Language:C++ 2
seanlahman / SABR-datasets
Open source collection of baseball datasets
baseball lahman sabr
2