option-pricing

There are 223 repositories under option-pricing topic.

  • cantaro86/Financial-Models-Numerical-Methods

    Collection of notebooks about quantitative finance, with interactive python code.

    Language:Jupyter Notebook5.3k13514969

  • michaelchu/optopsy

    A nimble options backtesting library for Python

    Language:Python9295720156
  • RustQuant

    avhz/RustQuant

    Rust library for quantitative finance.

    Language:Rust8992611297

  • quantsbin/Quantsbin

    Quantitative Finance tools

    Language:Python46315469

  • rburkholder/trade-frame

    C++ 17 based library (with sample applications) for testing equities, futures, etfs & options based automated trading ideas using DTN IQFeed real time data feed and Interactive Brokers (IB TWS API) for trade execution. Some support for Alpaca & Phemex. Notifications via Telegram [irc: Libra #tradeframe ]

    Language:C++438422145

  • PyPatel/Quant-Finance-Resources

    Courses, Articles and many more which can help beginners or professionals.

    41411281

  • romanmichaelpaolucci/Q-Fin

    A Python library for mathematical finance

    Language:Python37611352

  • boyac/pyOptionPricing

    Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging

    Language:Python2734228

  • 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:MATLAB1565262

  • PyFE/PyFENG

    Python Financial ENGineering (PyFENG package in PyPI.org)

    Language:Python13061868

  • yzoz/python-option-calculator

    Vanilla option pricing and visualisation using Black-Scholes model in pure Python

    Language:Python1193243

  • ArturSepp/StochVolModels

    Implement pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

    Language:Python1123225

  • ryanmccrickerd/rough_bergomi

    A Python implementation of the rough Bergomi model.

    Language:Jupyter Notebook1039343

  • jerryxyx/MonteCarlo

    A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM

    Language:Jupyter Notebook974053

  • TechfaneTechnologies/QtsApp

    The Python Library For QtsApp which displays the option chain in near real-time. This program retrieves this data from the QtsApp site and then generates useful analysis of the Option Chain for the specified Index or Stock. It also continuously refreshes the Option Chain along with Implied Volatatlity (IV), Open Interest (OI), Delta, Theta, Vega, Gamma, Vanna, Charm, Speed, Zomma, Color, Volga, Veta at an interval of a second and visually displays the trend in various indicators useful for Technical Analysis.

    Language:Python923725

  • hsjharvey/Option-Pricing

    European/American/Asian option pricing module. BSM/Monte Carlo/Binomial

    Language:Python893025

  • VivekPa/BinomialOptModel

    A python program to implement the discrete binomial option pricing model

    Language:Python825136

  • krivi95/option-pricing-models

    Simple python/streamlit web app for European option pricing using Black-Scholes model, Monte Carlo simulation and Binomial model. Spot prices for the underlying are fetched from Yahoo Finance API.

    Language:Python773327

  • jkirkby3/fypy

    Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.

    Language:Python685122

  • Robin-Guilliou/Option-Pricing

    Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fourier).

    Language:Jupyter Notebook625016

  • ApurvShah007/Algorithmic-Trading

    I have been deeply interested in algorithmic trading and systematic trading algorithms. This Repository contains the code of what I have learnt on the way. It starts form some basic simple statistics and will lead up to complex machine learning algorithms.

    Language:Jupyter Notebook606195

  • arraystream/fftoptionlib

    FFT-based Option Pricing Methods in Python

    Language:Python573115

  • ronniec95/black_scholes

    A SIMD based black scholes pricer using the http://crates.io/wide crate

    Language:Rust56536

  • romanmichaelpaolucci/Algorithmic_Delta_Hedging

    A library for black-scholes euro options pricing, algorithmic delta hedging, and visualization

    Language:Python545019

  • Jenniferab32/OptionAnalysis

    Python Code for Option Analysis

    Language:Python435019

  • bottama/Dynamic-Derivatives-Portfolio-Hedging

    Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage of Options contracts.

    Language:Python403010

  • LongOnly/Option-Pricing-under-Uncertainty

    By means of stochastic volatility models

    Language:Jupyter Notebook40209
  • jupyter-notebooks

    frontmark/jupyter-notebooks

    Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

    Language:Jupyter Notebook377177

  • daleroberts/black-scholes

    Black Scholes formula and greeks

    Language:R367019

  • bstemper/deep_rough_calibration

    C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.

    Language:Jupyter Notebook343217

  • jcfrei/Heston

    Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

    Language:MATLAB325217

  • msabvid/Deep-PPDE

    Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options

    Language:Python31203

  • Aureliano90/LP-Option-Hedging

    A tool to analyze leveraged liquidity mining and find optimal option strategy for hedging.

    Language:Python29209

  • hongwai1920/Implement-Option-Pricing-Model-using-Python

    Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estimate and likelihood ratio methods. Lastly, implemented binomial tree option pricing to price American option.

    Language:Jupyter Notebook29304

  • romanmichaelpaolucci/Pricing_Exotic_Options

    Library for simulation and analysis of vanilla and exotic options

    Language:Python296117

  • shehio/Everything-Financial-Engineering

    Links for the most relevant topics

    28202