jump-diffusion

There are 10 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:MATLAB1776267

  • 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:Julia1401216735

  • LRydin/jumpdiff

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

    Language:Python45346

  • jirotubuyaki/Jdmbs

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

    Language:R28516

  • 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++7102

  • ITNeri/Dynamic_Delta_Hedging

    Hedging options by using Monte Carlo simulations or real data

    Language:Python7102

  • xmlongan/ajdmom

    Automatically derive closed-form moment and covariance formulas of any order for some Affine Jump Diffusion models.

    Language:Python4200

  • piers-hinds/sde_mc

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

    Language:Python2100

  • 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