Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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Updated
Jun 26, 2023 - MATLAB
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Vanilla option pricing and visualisation using Black-Scholes model in pure Python
European/American/Asian option pricing module. BSM/Monte Carlo/Binomial
using the Inverse-Transform method to speed up options pricing simulations in R
Useful functions for Black–Scholes Model in the Julia Language
Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.
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.
Lab assignments of Financial Engineering Course MA374
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).
Exercises for Zazove Associates interview process. Option-free coupon bond pricing using discounted cash flow model and European stock pricing using binomial model.
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…
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)
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.
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