jump-diffusion

There are 14 repositories under jump-diffusion topic.

  • jkirkby3/PROJ_Option_Pricing_Matlab

    Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

    Language:MATLAB2037373

  • SciML/JumpProcesses.jl

    Build and simulate jump equations like Gillespie simulations and jump diffusions with constant and state-dependent rates and mix with differential equations and scientific machine learning (SciML)

    Language:Julia146918338

  • LRydin/jumpdiff

    JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python

    Language:Python49158

  • jirotubuyaki/Jdmbs

    An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

    Language:R28416

  • ITNeri/Dynamic_Delta_Hedging

    Hedging options by using Monte Carlo simulations or real data

    Language:Python11103

  • AnjishtGosain/DerivativesPricing

    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 to back-solve model parameters given market data (read from JSON).

    Language:C++8102

  • xmlongan/ajdmom

    Closed-Form Moment Derivation for Affine Jump Diffusions with State-Independent Jump Intensities

    Language:Python7201

  • piers-hinds/sde_mc

    Numerical integration of SDEs with variance reduction methods for Monte Carlo simulation

    Language:Python2100

  • ferrangarciarovira/VaR-Volatility-Models

    Comparative analysis of Value at Risk (VaR) measures using Black-Scholes pricing under different volatility models: jump diffusion, SABR and rough volatility.

    Language:Jupyter Notebook1

  • xmlongan/ajd.sim.bk

    Simulation of Affine Jump Diffusions Using Broadie-Kaya Method

    Language:R0100

  • xmlongan/ajd.sim.kbf

    Simulation of Affine Jump Diffusions Using Kyriakou-Brignone-Fusai Method

    Language:R0100

  • adrian-baule/jumpAI

    Implementation of a generative jump-diffusion model

    Language:Mathematica

  • Diljit22/optpricing

    Pricing & calibration engine (15+ models; API + CLI + Streamlit UI)

    Language:Python

  • nitintonypaul/merton

    A Python/C++ implementation of the Merton Jump Diffusion model using Monte Carlo simulation to generate stochastic equity price paths.

    Language:Python