/DeepPricing

Option Pricing Methods in my Master's Thesis

Primary LanguagePython

Classical Option Pricing Theory and Extensions to Deep Learning

The GitHub serves two purposes;

  1. To keep track of my work
  2. For the interested reader of my master's thesis to see the source code

Files for pricing:

The code is written in the Python directory and the following files are used:

  1. European call and put option: ClosedForm directory and the file closedEuro.py
  2. Exotic European options: ClosedForm directory and the file rainbow2Dim.py
  3. CRR: Directory BinomialModel and file BinoHull.py
  4. BEG: Directory BinomialModel and file BEGTwoDim.py
  5. LSM: Directory DeepStopping and file AmericanPut.py (Note that the LSM is implemented by using luphord GitHub repository https://github.com/luphord/longstaff_schwartz)
  6. MLP I: Directory DeepStopping and file AmericanPut.py (Note that the MLP is my own build upon the LSM method)
  7. MLP II: Directory DeepLearning/hirsa19/evaluation and file MLPsIIPricing.py