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.
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Updated
Mar 2, 2024 - Jupyter Notebook
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.
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.
Finite Difference Method for options pricing (European and American) in C++ (Explicit only)
Simple app to valuate price of financial instruments
A project with JavaScript, CSS and a bit of HTML. This is an item filtering project with an HTML "select" element.
Accompanying C++ code for the TastyHedge blog
Financial Engineering
A point relaxation algorithm for pricing and computing optimal exercise boundaries for American options
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An american option pricer based on neural network regression.
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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).
Pricing American Options, Asian Options, Lookback Options, and Floating Lookback Options using Monte-Carlo Simulation and Binomial Lattice approaches.
Lattice/tree pricing methods for European and American options
Asian, American, European and barrier option pricing
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…
A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function
Pricing American style option by estimating optimal stopping time using deep learning
A Program to calculate the price of American put or call option with Least Square Monte Carlo
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