Skip to content

ryanmccrickerd/rough_bergomi

master
Switch branches/tags

Name already in use

A tag already exists with the provided branch name. Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. Are you sure you want to create this branch?
Code

Files

Permalink
Failed to load latest commit information.
Type
Name
Latest commit message
Commit time
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

rBergomi simulation and turbocharged pricing

A Python implementation of the rough Bergomi (rBergomi) stochastic volatility model introduced by Bayer, Friz and Gatheral, using the hybrid simulation scheme of Bennedsen, Lunde and Pakkanen and variance reduction pricing methods of McCrickerd and Pakkanen.

Example Jupyter notebooks are included which demonstrate usage. Tested with Python 3.5.2 and macOS Sierra 10.12.5.

About

A Python implementation of the rough Bergomi model.

Topics

Resources

License

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published