#Black-scholes
Showing 28 of 28 repositories tagged #black-scholes, ranked by stars
Financial Derivatives Calculator with 171+ Models (Options Calculator)
OptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes.
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Python Financial ENGineering (PyFENG package in PyPI.org)
High-performance quantitative finance in Rust — 120+ stochastic processes, option pricing, calibration, fixed income, risk & copulas, with SIMD/GPU acceleration and Python bindings.
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
Vanilla option pricing and visualisation using Black-Scholes model in pure Python
A software to shortlist and find the best options spread available for a given stock and help it visualise using payoff graphs.
Implementations of Leading Algorithms in Quantitative Finance
I have been deeply interested in algorithmic trading and systematic trading algorithms. This Repository contains the code of what I have learnt on the way. It starts form some basic simple statistics and will lead up to complex machine learning algorithms.
Useful functions for Black–Scholes Model in the Julia Language
A collection of educational notebooks covering key mathematical concepts and their applications in quantitative finance
Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estimate and likelihood ratio methods. Lastly, implemented binomial tree option pricing to price American option.
Modelling the implicit volatility, using multi-factor statistical models.
A (very) fast Rust library for quantitative finance.
Typescript math library for cumulative distributions, black-scholes, and the RMM trading function.
Option pricing using Black-Scholes model, Bachelier model, Binomial Trees and Monte Carlo simulation under different stochastic processes
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.
Formally verified mathematical finance in Lean 4. Black–Scholes/Greeks/PDE, Itô calculus, FTAP/Girsanov, CRR→BS convergence, Merton jump-diffusion.
Case Studies in Finance: Stock Price Valuation using Black-Scholes using Brownian Motions, Investment Project comparing Stocks and Bonds, Determining Pension Fund's Premium. (Case Study Papers and Code)
DeFiMath is open-source, high-performance Solidity library for Ethereum smart contract development
Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others. Cointegration, Kalman, and option pricing.
Financial Engineering in R
Piecewise quadratic approximation to the Black-Scholes value of a straddle vs. stock price
Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
options market making engine in C++20 — SVI vol surface, Black-Scholes pricing, lock-free SPSC queues, delta hedging, and real-time PnL attribution.
Low-latency options pricing engine in Rust. BSM, Black-76, Heston, Bates (stochastic vol + jumps), Local Vol (Dupire). Analytic Greeks, fast IV solver (Halley), monotone cubic spline surfaces. Parallel batch pricing via Rayon.
An options trading bot