risk-neutral-probability

Here are 6 public repositories matching this topic...

bottama / stochastic-asset-pricing-in-continuous-time

Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method

monte-carlo gbm monte-carlo-simulation drift sde stochastic-differential-equations stochastic-processes asset-pricing wiener-process geometric-brownian-motion risk-neutral-probability financial-modeling capital-markets arbitrage-pricing

Updated Mar 4, 2021
Python

PavanAnanthSharma / Breeden-Litzenberger-formula-for-risk-neutral-densities

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The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the implied risk-neutral probability density function from observed option prices

python density-functional-theory quantitative-finance risk-management risk-neutral-probability hegde

Updated Nov 23, 2023
Jupyter Notebook

Zhongjun-Qu / State-Price-Density

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Sieve estimation of state price density implied by option prices

option-pricing density-estimation hermite-polynomials risk-neutral-probability state-price-density

Updated Apr 8, 2022

thk-cheng / Pricing-Auto-callable-Reverse-Convertible-with-Memory-Coupon

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The main focus of this repository is to analysis the fair price and the risk of the Auto-callable Reverse Convertible issued by Credit Suisse AG on 24/10/2017