Robin-Guilliou / Option-Pricing

Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

Date Created 2021-11-05 (3 years ago)

Commits 28 (last one 2 years ago)

Stargazers 73 (0 this week)

Watchers 5 (0 this week)

Forks 17

License unknown

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RepositoryStats indexes 595,856 repositories, of these Robin-Guilliou/Option-Pricing is ranked #364,486 (39th percentile) for total stargazers, and #335,688 for total watchers. Github reports the primary language for this repository as Jupyter Notebook, for repositories using this language it is ranked #9,171/17,543.

All Topics

monte-carlo heston-model black-scholes barrier-option binomial-model option-pricing fourier-transform implied-volatility finite-difference-schemes jump-diffusion-mertons-model

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2 commits on the default branch (main) since jan '22

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The only known language in this repository is Jupyter Notebook

updated: 2024-12-18 @ 12:51pm, id: 424931394 / R_kgDOGVPwQg