Some Overview Of Financial Derivatives
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Updated
Nov 17, 2022 - Python
Some Overview Of Financial Derivatives
An option valuation webapp in Python
Compilation of select advanced options pricing models i.e. Black-Scholes, Monte-Carlo, Binomial
Option Pricing Web App: Calculate European/American options using Black-Scholes, Binomial, and Trinomial models. Convergence Comparsion.
A Black-Scholes Model implemented in Python for option pricing. It includes a range of helper functions for calculating option Greeks and implied volatility, and features basic MySQL database interaction for uploading option data.
A command line utility to calculate the theoretical call and put price of an European option using the black-scholes method
(Put on hold temporarily) The simple option pricer written in Python. The structure and development path is inspired by the book "Numerical Methods in Finance with C++" , M.Capiński & T. Zastawniak. This will be a base to start playing with automatic differentation.
Implementation of the Black-Scholes model
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.
The library of models being used in quantitative finance.
Tool incorporating stochastic interest rates and prop value volatility to aid in lease option valuation.
Black Scholes Model and Heston Model
Undergraduate research project completed at Penn State University on "The Application of PDEs to Finance: Black-Scholes model for Options Pricing"
Python Repository to ingest, feature engineer, train, backtest, and run a random forest model to predict the direction of the S&P500 at the start of the next day's trading session.
Modelling and analysing the Asian call/put options compared to the standard European option as well as comparing two different modelling methods
Tests the Black-Scholes model's performance on forecasting option call prices of a selected option chain dataset. Discusses factors such as volatility and time to expiration that affect the estimations of call option prices and how this occurs within the dynamics of the model.
Reference implementations of option pricing formulae in Python
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