Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

Vanilla option pricing and visualisation using Black-Scholes model in pure Python

European/American/Asian option pricing module. BSM/Monte Carlo/Binomial

Useful functions for Black–Scholes Model in the Julia Language

using the Inverse-Transform method to speed up options pricing simulations in R

Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.

Black-Scholes Pricing Model: An intuitive and sophisticated tool for accurately calculating European option prices. Leverage the mathematical elegance of the Black-Scholes formula to explore how varying market conditions impact option pricing with real-time interactive visualizations.

Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possible, even though certain models have their own Machine Learning Model with assessment and performance.

AMM Capped European Options

A C application of the Crank Nicolson scheme for pricing dividend paying American Options by means of the Green Function

📚SDE research and modelling in Finance📚

This repository contains pricing methods for equity European and American options. Monte Carlo and tree methods have been implemented for Black Scholes extensions (standard, with discrete dividend, and with single and double Normal jumps for corporate actions). This repository also contains an implementation of a Differential Evolution algorithm…

Using Finite Element and Finite Difference Methods to Price European Options

Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)

Modelling and analysing the Asian call/put options compared to the standard European option as well as comparing two different modelling methods

Asian, American, European and barrier option pricing

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).

Exercises for Zazove Associates interview process. Option-free coupon bond pricing using discounted cash flow model and European stock pricing using binomial model.

Lab assignments of Financial Engineering Course MA374

European option pricing, Black and Scholes Model