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jkirkby3
PROJ_Option_Pricing_Matlab jkirkby3
63
160
mit
5
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
sabr options derivatives monte-carlo asian-option heston-model black-scholes quant-finance variance-swap barrier-option jump-diffusion levy-processes option-pricing bermudan-option lookback-option american-options european-options fourier-transform quantitative-finance stochastic-volatility-models
Created 2017-11-17
135 commits to master branch, last one about a year ago
Robin-Guilliou
Option-Pricing Robin-Guilliou
16
62
unknown
5
Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).
monte-carlo heston-model black-scholes barrier-option binomial-model option-pricing fourier-transform implied-volatility finite-difference-schemes jump-diffusion-mertons-model
Created 2021-11-05
28 commits to main branch, last one 2 years ago