variance-gamma

There are 3 repositories under variance-gamma topic.

  • 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:Python796122

  • dlaptev/VarGamma

    Variance Gamma distribution (Python): pdf, cdf, rand and fit.

    Language:Python114110

  • s-broda/QuadraticFormsMGHyp.jl

    A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.

    Language:Julia4212