An option pricing demo. Three option pricing models with their Greeks.
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Updated
Oct 30, 2015 - C++
An option pricing demo. Three option pricing models with their Greeks.
Scilab
A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
European option price and greeks graphs in Black-Scholes model using Matlab.
Financial exercises
Implementations of Leading Algorithms in Quantitative Finance
This is a binomial tree program that prices European single-barrier knock-in calls on a dividend-paying stock, and also determines the relative error based on the call price using the Black-Scholes model.
Quantitative and computational finance library
Own trining code
Undergraduate research project completed at Penn State University on "The Application of PDEs to Finance: Black-Scholes model for Options Pricing"
Excel spreadsheet and associated VBA code for calculating European option prices, their greeks, and a range of graphs.
This package allows you to perform various computations on European call options, barrier options and look-back options in the C++ language.
Implementation of the Black-Scholes model
Model of price variation over time of financial instruments such as stocks that can, among other things, be used to determine the price of a European call option
We apply Finite Element Method (FEM) for option pricing problem under Heston's Model.
Currency Binary Option Pricing with 3 methods and implied smile
📈 Desktop application for calculating fair pricing and Greeks of vanilla European options
Financial modelling, derivatives, investments
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