Finite Difference Method for Option (European and American) pricing, with greeks for explicit. FastExplicit() is a partially vectorised form of Explicit() that is much faster.
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Updated
Mar 2, 2024 - Jupyter Notebook
Finite Difference Method for Option (European and American) pricing, with greeks for explicit. FastExplicit() is a partially vectorised form of Explicit() that is much faster.
Monte Carlo Simulation for Option Pricing Using MATLAB and Python
Finite Difference Method for options pricing (European and American) in C++ (Explicit only)
This package allows you to perform various computations on European call options, barrier options and look-back options in the C++ language.
Simple app to valuate price of financial instruments
A scientific work focused on the studying of financial market modeling
MonteCarlo and Quasi-MonteCarlo methods for the valuations of spread and lookback finantial options.
Financial Engineering
Collection of functions for pricing european options
Black Scholes and Binomial Models for pricing European Options and Longstaff Schwartz for pricing American Options
R package to compute implied volatility for European Options.
European option price and greeks graphs in Black-Scholes model using Matlab.
Exercises for Zazove Associates interview process. Option-free coupon bond pricing using discounted cash flow model and European stock pricing using binomial model.
This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).
European option pricing, Black and Scholes Model
Lab assignments of Financial Engineering Course MA374
Modelling and analysing the Asian call/put options compared to the standard European option as well as comparing two different modelling methods
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
Using Finite Element and Finite Difference Methods to Price European Options
Asian, American, European and barrier option pricing
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