american-options
Here are 27 public repositories matching this topic...
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).
-
Updated
Sep 11, 2017 - MATLAB
Secondary band prediction model
-
Updated
Jan 26, 2018 - Jupyter Notebook
A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function
-
Updated
Jun 1, 2018 - C++
Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.
-
Updated
Aug 11, 2018 - Python
Lab assignments of Financial Engineering Course MA374
-
Updated
May 3, 2019 - Jupyter Notebook
Lattice/tree pricing methods for European and American options
-
Updated
Jul 16, 2020 - Python
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…
-
Updated
Oct 10, 2020 - C++
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).
-
Updated
Mar 26, 2021 - Jupyter Notebook
An american option pricer based on neural network regression.
-
Updated
Apr 6, 2021 - Python
Financial Engineering
-
Updated
May 13, 2021 - Jupyter Notebook
A project with JavaScript, CSS and a bit of HTML. This is an item filtering project with an HTML "select" element.
-
Updated
Jun 1, 2021 - CSS
Asian, American, European and barrier option pricing
-
Updated
Aug 9, 2021 - Python
Pricing American Options, Asian Options, Lookback Options, and Floating Lookback Options using Monte-Carlo Simulation and Binomial Lattice approaches.
-
Updated
Jun 18, 2022 - Jupyter Notebook
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.
-
Updated
Sep 15, 2022 - Python
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
-
Updated
Nov 7, 2022 - Python
A point relaxation algorithm for pricing and computing optimal exercise boundaries for American options
-
Updated
Mar 8, 2023 - Jupyter Notebook
A Program to calculate the price of American put or call option with Least Square Monte Carlo
-
Updated
Jun 7, 2023 - Python
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
-
Updated
Jun 26, 2023 - MATLAB
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.
-
Updated
Aug 8, 2023
Improve this page
Add a description, image, and links to the american-options topic page so that developers can more easily learn about it.
Add this topic to your repo
To associate your repository with the american-options topic, visit your repo's landing page and select "manage topics."