option-pricing
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Implementations of the Heston stochastic volatility model
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Apr 15, 2015 - R
Computational Finance using GPU/Multi-core Systems
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Aug 1, 2015 - C++
Finite difference solver for the 'Variance Gamma' partial-integro differential equation (PIDE)
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Nov 18, 2015 - MATLAB
A dynamic strategy that replicates the payoff of a derivative described as a stochastic process
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May 29, 2016 - HTML
Pricing derivatives using the explicit finite-difference method
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Jul 15, 2016 - Jupyter Notebook
European option price and greeks graphs in Black-Scholes model using Matlab.
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Jan 19, 2017 - MATLAB
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
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Mar 23, 2017 - Python
Code for master thesis about application of FFT technique in Spread option valuation field (based on papers from Hurd Zhou and Dempster Hong)
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May 23, 2017 - R
Pricing TARN Using Numerical Methods
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Jul 6, 2017 - MATLAB
Discrete Asian Option Pricing for GPUs
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Jul 17, 2017 - C++
Find arbitrage-free initial price for options in the CRR binomial options pricing model
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Jul 20, 2017 - C
Pricing options via binomial trees: European, American, Chooser, Knock-Out, Average Strike
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Aug 28, 2017 - HTML
Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.
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Aug 29, 2017 - MATLAB
Using CUDA-accelerated Monte Carlo for option pricing. Developing a option pricing system in CUDA.
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Oct 17, 2017 - C++
Price a basket option using a Monte Carlo estimator or the antithetic method
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Nov 8, 2017 - C++
Work related to quantitative finance.
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Feb 20, 2018 - Jupyter Notebook
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