option-pricing

There are 312 repositories under option-pricing topic.

  • cantaro86/Financial-Models-Numerical-Methods

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

    Language:Jupyter Notebook6.6k156161.2k
  • RustQuant

    avhz/RustQuant

    Rust library for quantitative finance.

    Language:Rust1.6k29127176

  • michaelchu/optopsy

    A nimble options backtesting library for Python

    Language:Python1.2k5921185

  • PyPatel/Quant-Finance-Resources

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

    795132127

  • rburkholder/trade-frame

    C++ 17 based library (with sample applications) for testing equities, futures, currencies, etfs & options based automated trading ideas using DTN IQFeed real time data feed and Interactive Brokers (IB TWS API) for trade execution. libtorch/lstm/cuda demo. Support for Alpaca & Phemex. Notifications via Telegram.

    Language:C++608464183

  • quantsbin/Quantsbin

    Quantitative Finance tools

    Language:Python56316483

  • romanmichaelpaolucci/Q-Fin

    A Python library for mathematical finance

    Language:Python49210365

  • boyac/pyOptionPricing

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

    Language:Python3123233

  • just-krivi/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:Python3005371

  • 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

  • ArturSepp/StochVolModels

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

    Language:Python1855238

  • PyFE/PyFENG

    Python Financial ENGineering (PyFENG package in PyPI.org)

    Language:Python17351875

  • yzoz/python-option-calculator

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

    Language:Python1352346

  • ryanmccrickerd/rough_bergomi

    A Python implementation of the rough Bergomi model.

    Language:Jupyter Notebook1339447

  • joaquinbejar/OptionStratLib

    OptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes.

    Language:Rust12726521

  • 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:Python1226226

  • jerryxyx/MonteCarlo

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

    Language:Jupyter Notebook1153052

  • hsjharvey/Option-Pricing

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

    Language:Python1013029

  • 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:Python1012725

  • 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 Notebook865019

  • VivekPa/BinomialOptModel

    A python program to implement the discrete binomial option pricing model

    Language:Python834133

  • ronniec95/black_scholes

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

    Language:Rust73539

  • romanmichaelpaolucci/Algorithmic_Delta_Hedging

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

    Language:Python624018

  • 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 Notebook615197

  • arraystream/fftoptionlib

    FFT-based Option Pricing Methods in Python

    Language:Python593116

  • 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:Python563013

  • Jenniferab32/OptionAnalysis

    Python Code for Option Analysis

    Language:Python456020

  • LongOnly/Option-Pricing-under-Uncertainty

    By means of stochastic volatility models

    Language:Jupyter Notebook44108

  • 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:Matlab414219
  • jupyter-notebooks

    frontmark/jupyter-notebooks

    Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks

    Language:Jupyter Notebook386178

  • daleroberts/black-scholes

    Black Scholes formula and greeks

    Language:R376019

  • Aureliano90/LP-Option-Hedging

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

    Language:Python36208

  • bstemper/deep_rough_calibration

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

    Language:Jupyter Notebook363218

  • msabvid/Deep-PPDE

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

    Language:Python36104

  • pooyasf/DGM

    Solving High Dimensional Partial Differential Equations with Deep Neural Networks

    Language:Python342111

  • romanmichaelpaolucci/Pricing_Exotic_Options

    Library for simulation and analysis of vanilla and exotic options

    Language:Python335118