R package to compute implied volatility for European Options.
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Updated
Nov 26, 2020 - R
R package to compute implied volatility for European Options.
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.
MonteCarlo and Quasi-MonteCarlo methods for the valuations of spread and lookback finantial options.
Using Finite Element and Finite Difference Methods to Price European Options
📚SDE research and modelling in Finance📚
Finite Difference Method for options pricing (European and American) in C++ (Explicit only)
Financial Engineering
European option price and greeks graphs in Black-Scholes model using Matlab.
Collection of functions for pricing european options
Simple app to valuate price of financial instruments
European option pricing, Black and Scholes Model
A scientific work focused on the studying of financial market modeling
Asian, American, European and barrier option pricing
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
This package allows you to perform various computations on European call options, barrier options and look-back options in the C++ language.
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…
Modelling and analysing the Asian call/put options compared to the standard European option as well as comparing two different modelling methods
A C++ application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function
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).
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