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matthieugomez
EconPDEs.jl matthieugomez
40
116
other
14
Solve non-linear HJB equations.
pde finance economics finite-difference-schemes
Created 2016-08-27
351 commits to main branch, last one 9 days 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